Open AccessRecent Developments in Option Pricing
Author(s) -
Hui Gong,
A. Thavaneswaran,
You Liang
Publication year - 2011
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2011.13009
Subject(s) - stochastic volatility , valuation of options , jump diffusion , black–scholes model , jump , volatility (finance) , sabr volatility model , partial differential equation , mathematics , econometrics , economics , log normal distribution , mathematical economics , mathematical analysis , physics , statistics , quantum mechanics
In this paper, we investigate recent developments in option pricing based on Black-Scholes processes, pure jump processes, jump diffusion process, and stochastic volatility processes. Results on Black-Scholes model with GARCH volatility (Gong, Thavaneswaran and Singh [1]) and Black-Scholes model with stochastic volatility (Gong, Thavaneswaran and Singh [2]) are studied. Also, recent results on option pricing for jump diffusion processes, partial differential equation (PDE) method together with FFT (fast Fourier transform) approximations of Pillay and O’ Hara [3] and a recently proposed method based on moments of truncated lognormal distribution (Thavaneswaran and Singh [4]) are also discussed in some detail