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Hejazi, Reza, Dastranj, Elham, Habibi, Noora, Naderifard, Azadeh. (1401). Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation. سامانه مدیریت نشریات علمی, 10(2), 419-430. doi: 10.22034/cmde.2021.38468.1692
Reza Hejazi; Elham Dastranj; Noora Habibi; Azadeh Naderifard. "Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation". سامانه مدیریت نشریات علمی, 10, 2, 1401, 419-430. doi: 10.22034/cmde.2021.38468.1692
Hejazi, Reza, Dastranj, Elham, Habibi, Noora, Naderifard, Azadeh. (1401). 'Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation', سامانه مدیریت نشریات علمی, 10(2), pp. 419-430. doi: 10.22034/cmde.2021.38468.1692
Hejazi, Reza, Dastranj, Elham, Habibi, Noora, Naderifard, Azadeh. Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation. سامانه مدیریت نشریات علمی, 1401; 10(2): 419-430. doi: 10.22034/cmde.2021.38468.1692

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

Computational Methods for Differential Equations
مقاله 10، دوره 10، شماره 2، تیر 2022، صفحه 419-430    اصل مقاله (1.18 M)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2021.38468.1692
نویسندگان
Reza Hejazi* ؛ Elham Dastranj؛ Noora Habibi؛ Azadeh Naderifard
Faculty of mathematical sciences, Shahrood university of technology, Shahrood, Semnan, Iran.
چکیده
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. 
کلیدواژه‌ها
Option pricing؛ Markov chain؛ Geometric Brownian motion؛ Finite difference method
مراجع
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