Option pricing in incomplete markets
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 975-978 |
| Journal / Publication | Applied Mathematics Letters |
| Volume | 26 |
| Issue number | 10 |
| Publication status | Published - Oct 2013 |
Link(s)
Abstract
Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations. © 2013 Elsevier Ltd. All rights reserved.
Research Area(s)
- Exponential utility function, Heston model, Incomplete markets, Option pricing, Stochastic volatility
Citation Format(s)
Option pricing in incomplete markets. / Zhang, Qiang; Han, Jiguang.
In: Applied Mathematics Letters, Vol. 26, No. 10, 10.2013, p. 975-978.
In: Applied Mathematics Letters, Vol. 26, No. 10, 10.2013, p. 975-978.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
