Numerical Solution of Pricing of European Put Option with Stochastic Volatility

In this paper, European put option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stock price from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved by Crank-Nicolson finite difference method for various interest rate and maturity in time. The sensitivity measures "Greeks" are also determined to validate the model. This is observed that the value of European put option increases with maturity time and decreases with interest rate

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Year of publication:	2011
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Engineering, Vol. 24, No. 2, pp. 189-203, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 10, 2010 erstellt Volltext nicht verfügbar
Classification:	C63 - Computational Techniques ; E47 - Forecasting and Simulation ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

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