Perturbation expansion for option pricing with stochastic volatility

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 17, 2009, Pages 3503-3520

  Jizba, Petr ^a,b   Kleinert, Hagen ^a   Haener, Patrick ^c  

^a FREIE UNIVERSITÄT BERLIN   (Germany)

^b CZECH TECHNICAL UNIVERSITY IN PRAGUE   (Czech Republic)

^c Nomura International   (United Kingdom)

Author keywords

Black Scholes formula; Gamma distribution; Mellin transform; Volatility

Indexed keywords

COSTS; ECONOMIC AND SOCIAL EFFECTS; ECONOMICS; EXPANSION; INVESTMENTS; STOCHASTIC SYSTEMS;

ANALYTIC FORMULA; BLACK-SCHOLES FORMULA; GAMMA DISTRIBUTION; MELLIN TRANSFORM; OPTION PRICING; PERTURBATION EXPANSIONS; STOCHASTIC VOLATILITY; VOLATILITY;

FINANCIAL MARKETS;

EID: 67349287403     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.04.027     Document Type: Article

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