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題名:	On the Pricing Formula for the Perpetual American Volatility Option Under the Mean-reverting Processes
作者:	蔡炎龍 Tsai, Yen-Lung Liu, Hsuan-Ku Lin, Tse-Yu
貢獻者:	應數系
關鍵詞:	American volatility options; free boundary problem; neural network approach
日期:	2021-04
上傳時間:	2021-10-27 11:01:31 (UTC+8)
摘要:	This paper studies the properties of the parabolic free-boundary problem arising from pricing of American volatility options in mean-reverting volatility processes. When the volatility index follows the mean-reverting square root process (MRSRP), we derive a closed-form pricing formula for the perpetual American power volatility option. Moreover, an artificial neural network (ANN) approach is extended to find an approximate solution of the free boundary problem arising from pricing the perpetual American option. The comparison results demonstrates that the ANN provides an accurate approach to approximate solution for the free boundary problem.
關聯:	Taiwanese Journal of Mathematics, Vol.25, No.2, pp. 365-379
資料類型:	article
DOI 連結:	https://doi.org/10.11650/tjm/200803
DOI:	10.11650/tjm/200803
顯示於類別:	[應用數學系] 期刊論文

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