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題名: | On the Pricing Formula for the Perpetual American Volatility Option Under the Mean-reverting Processes | 作者: | 蔡炎龍 Tsai, Yen-Lung Liu, Hsuan-Ku Lin, Tse-Yu |
貢獻者: | 應數系 | 關鍵詞: | American volatility options ; free boundary problem ; neural network approach | 日期: | 四月-2021 | 上傳時間: | 27-十月-2021 | 摘要: | This paper studies the properties of the parabolic free-boundary problem arising from pricing of American volatility options in mean-reverting volatility processes. When the volatility index follows the mean-reverting square root process (MRSRP), we derive a closed-form pricing formula for the perpetual American power volatility option. Moreover, an artificial neural network (ANN) approach is extended to find an approximate solution of the free boundary problem arising from pricing the perpetual American option. The comparison results demonstrates that the ANN provides an accurate approach to approximate solution for the free boundary problem. | 關聯: | Taiwanese Journal of Mathematics, Vol.25, No.2, pp. 365-379 | 資料類型: | article | DOI: | https://doi.org/10.11650/tjm/200803 |
Appears in Collections: | 期刊論文 |
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