Analytical approximation of European option prices under a new two-factor non-affine stochastic volatility model
In this paper, the pricing of European options under a new two-factor non-affine stochastic volatility model is studied. In order to reduce the computational complexity, we use the Taylor expansion and Fourier-cosine method to derive an analytical approximation formula for European option prices. Nu...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-01-01
|
| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023243?viewType=HTML |