AI Chat Paper
Note: Please note that the following content is generated by AMiner AI. SciOpen does not take any responsibility related to this content.
{{lang === 'zh_CN' ? '文章概述' : 'Summary'}}
{{lang === 'en_US' ? '中' : 'Eng'}}
Chat more with AI
Powered by AMiner. Clicking this button will take you away from SciOpen.
Home AIMS Mathematics Article
PDF (481.4 KB)
Cite
EndNote(RIS) BibTeX
Collect
Submit Manuscript AI Chat Paper
Show Outline
Outline
Show full outline
Hide outline
Outline
Show full outline
Hide outline
Research Article | Open Access

An analytical approximation formula for European option prices under a liquidity-adjusted non-affine stochastic volatility model

Shoude Huang1, Xin-Jiang He2( )
School of Mathematics and Computer Science, Anshun University, Anshun, Guizhou, China
School of Economics, Zhejiang University of Technology, Hangzhou, China
Show Author Information

Abstract

In this paper, we investigate the pricing of European options under a liquidity-adjusted non-affine stochastic volatility model. An analytical European option pricing formula is successfully derived with the COS method, based on an approximation for the characteristic function of the underlying log-asset price. Numerical analysis reveals that our results are very efficient and of reasonable accuracy, and we also present some sensitivity analysis to demonstrate the effects of different parameters on option prices.

Keywords

European optionsCOS methodliquidity-adjustednon-affine volatility
CLC number: 91G20

References

【1】
【1】
 
 
Crossref Google Scholar
AIMS Mathematics
Volume 7 Issue 6,
June 2022
Pages 10364-10377
DOI: 10.3934/math.2022577

{{item.num}}

Comments on this article

Go to comment

< Back to all reports

Review Status: {{reviewData.commendedNum}} Commended , {{reviewData.revisionRequiredNum}} Revision Required , {{reviewData.notCommendedNum}} Not Commended Under Peer Review

Review Comment

Cite this Report
Close
Close
Cite this article:
Huang S, He X-J. An analytical approximation formula for European option prices under a liquidity-adjusted non-affine stochastic volatility model. AIMS Mathematics, 2022, 7(6): 10364-10377. https://doi.org/10.3934/math.2022577

0

Views

0

Downloads

0

Crossref

0

Web of Science

0

Scopus
Received: 13 January 2022
Revised: 08 March 2022
Accepted: 09 March 2022
Published: 15 June 2022
©2022 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)