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| Title | On the Pricing Formula for the Perpetual American Volatility Option Under the Mean-reverting Processes |
| Creator | 蔡炎龍 Tsai, Yen-Lung Liu, Hsuan-Ku Lin, Tse-Yu |
| Contributor | 應數系 |
| Key Words | American volatility options ; free boundary problem ; neural network approach |
| Date | 2021-04 |
| Date Issued | 27-Oct-2021 11:01:31 (UTC+8) |
| Summary | 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. |
| Relation | Taiwanese Journal of Mathematics, Vol.25, No.2, pp. 365-379 |
| Type | article |
| DOI | https://doi.org/10.11650/tjm/200803 |
| dc.contributor | 應數系 | |
| dc.creator (作者) | 蔡炎龍 | |
| dc.creator (作者) | Tsai, Yen-Lung | |
| dc.creator (作者) | Liu, Hsuan-Ku | |
| dc.creator (作者) | Lin, Tse-Yu | |
| dc.date (日期) | 2021-04 | |
| dc.date.accessioned | 27-Oct-2021 11:01:31 (UTC+8) | - |
| dc.date.available | 27-Oct-2021 11:01:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-Oct-2021 11:01:31 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/137566 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 343951 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Taiwanese Journal of Mathematics, Vol.25, No.2, pp. 365-379 | |
| dc.subject (關鍵詞) | American volatility options ; free boundary problem ; neural network approach | |
| dc.title (題名) | On the Pricing Formula for the Perpetual American Volatility Option Under the Mean-reverting Processes | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.11650/tjm/200803 | |
| dc.doi.uri (DOI) | https://doi.org/10.11650/tjm/200803 |