재무연구 제 권 호 (2012년 5월)
Asian Review of Financial Research, Vol., No..
pp.2070~2075
pp.2070~2075
Homotopy Analysis Method for Option Pricing under Stochastic Volatility
Sang-Hyeon Park Department of Mathematics, Yonsei University, Seoul, Korea
Jeong-Hoon Kim Department of Mathematics, Yonsei University, Seoul, Korea
In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black-Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.
Sang-Hyeon Park
Jeong-Hoon Kim
In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black-Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.
