CALCULATION OPTION PRICES USING MODELS CEV WITH MULTIDIMENSIONAL STOCHASTIC VOLATILITY

I.V. BURTNYAK, H.P. MALYTSKA

Abstract


The paper developed a systematic method for calculating approximate prices for a broad class of securities using the tools of spectral analysis, singular and regular wave theory. Price options depends on stochastic volatility, which is described path-dependent process. Finding the price is reduced to the problem of finding the eigenvalues and eigenfunctions of a certain equation.

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Прикарпатський національний університет імені Василя Стефаника