Publication:
Option pricing under stochastic environment of volatility and market price of risk

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dc.contributor.authorNattakorn Phewcheanen_US
dc.contributor.authorYong Hong Wuen_US
dc.contributor.authorYongwimon Lenburyen_US
dc.contributor.otherMahidol Universityen_US
dc.contributor.otherCurtin Universityen_US
dc.contributor.otherSouth Carolina Commission on Higher Educationen_US
dc.date.accessioned2018-10-19T05:09:09Z
dc.date.available2018-10-19T05:09:09Z
dc.date.issued2013-11-04en_US
dc.description.abstractSince Black-Scholes model was proposed in 1973, it has been applied widely for option pricing. The aim of this paper is to develop European option pricing model taking into account stochastic volatility and stochastic market price of risk (MPR) under the framework of Black-Scholes. Both volatility and market price of risk are assumed to be stochastic and assumed to follow Ornstein- Uhlenbeck process. By using an analytical approach of Abraham Loui, explicit formulas are derived for European call and put option prices. Sensitivity of option price to model parameters are tested and the simulation results show the strong characteristic of stochastic model.en_US
dc.identifier.citationInternational Journal of Mathematical Models and Methods in Applied Sciences. Vol.7, No.11 (2013), 927-935en_US
dc.identifier.issn19980140en_US
dc.identifier.other2-s2.0-84886661424en_US
dc.identifier.urihttps://repository.li.mahidol.ac.th/handle/20.500.14594/32009
dc.rightsMahidol Universityen_US
dc.rights.holderSCOPUSen_US
dc.source.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84886661424&origin=inwarden_US
dc.subjectMathematicsen_US
dc.titleOption pricing under stochastic environment of volatility and market price of risken_US
dc.typeArticleen_US
dspace.entity.typePublication
mu.datasource.scopushttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84886661424&origin=inwarden_US

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