Korean Journal of Mathematics

The Kangwon-Kyungki Mathematical Society (강원경기수학회)
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ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL

  • Oh, Jae-Pill (Department of Mathematics Kangweon National University)
  • Received : 2011.12.28
  • Accepted : 2012.03.06
  • Published : 2012.03.30
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Abstract

We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.

Keywords

References

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