• Media type: E-Article
  • Title: Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
  • Contributor: Kim, Young Shin [Author]
  • imprint: Basel: MDPI, 2021
  • Language: English
  • DOI: https://doi.org/10.3390/jrfm14020077
  • ISSN: 1911-8074
  • Keywords: C22 ; Monte-Carlo simulation ; C60 ; barrier option ; C15 ; G13 ; American option ; stochastic volatility ; Lévy process
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  • Description: 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 market, using the least square regression method. Moreover, we discuss path-dependent options, such as Asian and Barrier options.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)