Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing

Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options m...

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Bibliographic Details
Main Author: Young Shin Kim
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Journal of Risk and Financial Management
Subjects:
stochastic volatility
Lévy process
American option
barrier option
Monte-Carlo simulation
Online Access:https://www.mdpi.com/1911-8074/14/2/77

Internet

https://www.mdpi.com/1911-8074/14/2/77

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