Numerical Solution of Pricing of European Put Option with Stochastic Volatility
عنوان مقاله: Numerical Solution of Pricing of European Put Option with Stochastic Volatility
شناسه ملی مقاله: JR_IJE-24-8_009
منتشر شده در در سال 1390
شناسه ملی مقاله: JR_IJE-24-8_009
منتشر شده در در سال 1390
مشخصات نویسندگان مقاله:
U S Rana - Mathematics, D.A.V.P.G College,Dehradun
خلاصه مقاله:
U S Rana - Mathematics, D.A.V.P.G College,Dehradun
In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stockprice from ۳/۰۱/۲۰۰۰ to ۳۰/۰۳/۲۰۰۹ is used and resulting partial differential equation is solved byCrank-Nicolson finite difference method for various interest rates and maturity in time. Thesensitivity measures “Greeks” are also determined to validate the model. It is observed that the valueof European put option increases with maturity time and decreases with interest rate.
کلمات کلیدی: European Option, Finite difference method, Stochastic Volatility, GARCH (۱, ۱), Greeks
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1391033/