A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
We investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the crisis model is a generalization of the Black and Scholes PDE. However, to the best knowledge, it does not have a closed form solution for the general case. In this paper, we provide a solution for the pricing PDE of a European option during financial crisis using the homotopy analysis method.
Year of publication: |
2014
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Authors: | Youssef, El-Khatib |
Published in: |
Mathematical Economics Letters. - De Gruyter. - Vol. 2.2014, 3-4, p. 6-6
|
Publisher: |
De Gruyter |
Subject: | Black-Scholes PDE | Options | Financial Crisis | Homotopy Analysis Method |
Saved in:
Online Resource
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