Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing
نویسندگان
چکیده
This paper proposes the sample path generation method for stochastic volatility version of CGMY process. We present Monte-Carlo European and American option pricing with calibrate model parameters to style S&P 100 index options market, using least square regression method. Moreover, we discuss path-dependent options, such as Asian Barrier options.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14020077