Recent Developments in Option Pricing
Hui Gong, You Liang, Aerambamoorthy Thavaneswaran
DOI: 10.4236/jmf.2011.13009   PDF    HTML     6,662 Downloads   13,447 Views   Citations


In this paper, we investigate recent developments in option pricing based on Black-Scholes processes, pure jump processes, jump diffusion process, and stochastic volatility processes. Results on Black-Scholes model with GARCH volatility (Gong, Thavaneswaran and Singh [1]) and Black-Scholes model with stochastic volatility (Gong, Thavaneswaran and Singh [2]) are studied. Also, recent results on option pricing for jump diffusion processes, partial differential equation (PDE) method together with FFT (fast Fourier transform) approximations of Pillay and O’ Hara [3] and a recently proposed method based on moments of truncated lognormal distribution (Thavaneswaran and Singh [4]) are also discussed in some detail.

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H. Gong, Y. Liang and A. Thavaneswaran, "Recent Developments in Option Pricing," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 63-71. doi: 10.4236/jmf.2011.13009.

Conflicts of Interest

The authors declare no conflicts of interest.


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