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Recent Developments in Option Pricing

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DOI: 10.4236/jmf.2011.13009    5,643 Downloads   11,456 Views   Citations

ABSTRACT

In this paper, we investigate recent developments in option pricing based on Black-Scholes processes, pure jump processes, jump diffusion process, and stochastic volatility processes. Results on Black-Scholes model with GARCH volatility (Gong, Thavaneswaran and Singh [1]) and Black-Scholes model with stochastic volatility (Gong, Thavaneswaran and Singh [2]) are studied. Also, recent results on option pricing for jump diffusion processes, partial differential equation (PDE) method together with FFT (fast Fourier transform) approximations of Pillay and O’ Hara [3] and a recently proposed method based on moments of truncated lognormal distribution (Thavaneswaran and Singh [4]) are also discussed in some detail.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

H. Gong, Y. Liang and A. Thavaneswaran, "Recent Developments in Option Pricing," Journal of Mathematical Finance, Vol. 1 No. 3, 2011, pp. 63-71. doi: 10.4236/jmf.2011.13009.

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