Table of Contents Author Guidelines Submit a Manuscript
Discrete Dynamics in Nature and Society
Volume 2016 (2016), Article ID 7496539, 9 pages
http://dx.doi.org/10.1155/2016/7496539
Research Article

Efficient Option Pricing in Crisis Based on Dynamic Elasticity of Variance Model

School of Economics and Mathematics, Southwestern University of Finance and Economics, Chengdu, Sichuan 611130, China

Received 11 December 2015; Accepted 8 March 2016

Academic Editor: Leonid Shaikhet

Copyright © 2016 Congyin Fan et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. F. Black and M. Scholes, “The pricing of options and corporate liabilities,” Journal of Political Economy, vol. 81, no. 3, pp. 637–654, 1973. View at Publisher · View at Google Scholar
  2. R. C. Blattberg and N. J. Gonedes, “A comparison of the stable and student distributions as statistical models for stock prices,” The Journal of Business, vol. 47, no. 2, pp. 244–280, 1974. View at Publisher · View at Google Scholar
  3. J. Cox, “Note on option pricing 1: constant elasticity of diffusion,” Draft, Stanford University, Stanford, Calif, USA, 1976. View at Google Scholar
  4. J. C. Cox and S. A. Ross, “The valuation of options for alternative stochastic processes,” Journal of Financial Economics, vol. 3, no. 1-2, pp. 145–166, 1976. View at Publisher · View at Google Scholar · View at Scopus
  5. D. Jong and R. Huismn, “From skews to a skewed-t: modelling option-implied returns by a skewed student-t,” in Proceedings of the IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering (CIFEr '00), New York, NY, USA, March 2000.
  6. S. Markose and A. Alentorn, “The generalized extreme value distribution, implied tail index, and option pricing,” The Journal of Derivatives, vol. 18, no. 3, pp. 35–60, 2011. View at Publisher · View at Google Scholar · View at Scopus
  7. D. Zhu and J. Galbraith, “A generalized asymmetric student's t distribution with applications to financial economics,” Journal of Economics, vol. 157, no. 6, pp. 297–305, 2010. View at Google Scholar
  8. D. C. Emanuel and J. D. MacBeth, “Further results on the constant elasticity of variance call option pricing model,” The Journal of Financial and Quantitative Analysis, vol. 17, no. 4, pp. 533–554, 1982. View at Publisher · View at Google Scholar
  9. T. Nawdha, T. Yannick, and B. Muddun, “Efficient and high accuracy pricing of barrier options under the CEV diffusion,” Journal of Computational and Applied mathematics, vol. 280, pp. 182–193, 2015. View at Google Scholar
  10. T. J. Finucane, “Black-Scholes approximations of call option prices with stochastic volatilities: a note,” Journal of Financial and Quantitative Analysis, vol. 24, no. 4, pp. 527–532, 1989. View at Publisher · View at Google Scholar
  11. C. Wang, S. W. Zhou, and J. Y. Yang, “The pricing of vulnerable options in a fractional brownian motion environment,” Discrete Dynamics in Nature and Society, vol. 2015, Article ID 579213, 10 pages, 2015. View at Publisher · View at Google Scholar · View at Scopus
  12. J. Huang, W. Zhu, and X. Ruan, “Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity,” Journal of Computational and Applied Mathematics, vol. 263, pp. 152–159, 2014. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet · View at Scopus
  13. X. S. Yu and L. Yang, “Pricing american options using a nonparametric entropy approach,” Discrete Dynamics in Nature and Society, vol. 2014, Article ID 369795, 16 pages, 2014. View at Publisher · View at Google Scholar · View at Scopus
  14. Y. Xing and X. Yang, “Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility,” Journal of Computational and Applied Mathematics, vol. 280, pp. 231–247, 2015. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  15. F. Black, “Fact and fantasy in the use of option,” Financial Analysts Journal, vol. 31, no. 4, pp. 36–41, 1975. View at Publisher · View at Google Scholar
  16. E. Platen and R. Sidorowicz, “Empirical evidence on Student t log-returns of diversified world stock indices,” Quantitative Finance Research Center, vol. 2, no. 2, pp. 132–142, 2000. View at Google Scholar
  17. G. Dibeh and H. M. Harmanani, “Option pricing during post-crash relaxation times,” Physica A: Statistical Mechanics and its Applications, vol. 380, no. 1-2, pp. 357–365, 2007. View at Publisher · View at Google Scholar · View at Scopus
  18. F. Lillo and R. Mantenga, “Power-law relaxation in a complex system: omori law after a financial market crash,” Rosario Mantegna, vol. 68, no. 1, pp. 65–70, 2003. View at Google Scholar
  19. D. Sornette, Why Stock Markets Crash: Critical Events in Complex Financial Markets, Princeton University Press, Princeton, NJ, USA, 2003.
  20. Y. El-Khatib, M. A. Hajji, and M. Al-Refai, “Options pricing in jump diffusion markets during financial crisis,” Applied Mathematics and Information Sciences, vol. 7, no. 6, pp. 2319–2326, 2013. View at Publisher · View at Google Scholar · View at Scopus
  21. J.-H. Yoon, “Pricing perpetual American options under multiscale stochastic elasticity of variance,” Chaos, Solitons & Fractals, vol. 70, no. 1, pp. 14–26, 2015. View at Publisher · View at Google Scholar · View at Scopus
  22. J.-H. Yoon and C.-R. Park, “Pricing turbo warrants under stochastic elasticity of variance,” Chaos, Solitons & Fractals, 2015. View at Publisher · View at Google Scholar
  23. M. Chesney, R. Ellott, D. Madan, and H. Yang, “Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying,” Mathematical Finance, vol. 3, no. 2, pp. 85–99, 1993. View at Publisher · View at Google Scholar