Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation

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HEJAZI SEYED REZA; Dastranj Elham; Habibi Noora; Naderifard Azadeh

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Journal Paper

Paper Information

Journal: Computational Methods for Differential Equations Year:2022 | Volume:10 | Issue:2 Page(s): 419-430

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Title

Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation

Author(s)

HEJAZI SEYED REZA | Dastranj Elham | Habibi Noora | Naderifard Azadeh | Issue Writer Certificate

Keywords

Option pricing

Markov chain

Geometric Brownian motion

Finite difference method

Abstract

In this paper, Option pricing is given via stochastic analysis and invariant subspace method. Finally numerical solutions is driven and shown via diagram. The considered model is one of the most well known non-linear time series model in which the switching mechanism is controlled by an unobservable state variable that follows a first-order Markov chain. Some analytical solutions for Option pricing are given under our considered model. Then numerical solutions are presented via Finite difference method.

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APA: Copy

HEJAZI, SEYED REZA, Dastranj, Elham, Habibi, Noora, & Naderifard, Azadeh. (2022). Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation. COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS, 10(2), 419-430. SID. https://sid.ir/paper/1057134/en

Vancouver: Copy

HEJAZI SEYED REZA, Dastranj Elham, Habibi Noora, Naderifard Azadeh. Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation. COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS[Internet]. 2022;10(2):419-430. Available from: https://sid.ir/paper/1057134/en

IEEE: Copy

SEYED REZA HEJAZI, Elham Dastranj, Noora Habibi, and Azadeh Naderifard, “Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation,” COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS, vol. 10, no. 2, pp. 419–430, 2022, [Online]. Available: https://sid.ir/paper/1057134/en

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