Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL

  • U, Junhui (Department of Mathematics Pusan National University) ;
  • Kim, Donghyun (Department of Mathematics Pusan National University) ;
  • Yoon, Ji-Hun (Department of Mathematics Pusan National University)
  • Received : 2020.01.17
  • Accepted : 2020.02.23
  • Published : 2020.05.15
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Abstract

This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

Keywords

Acknowledgement

The research of J.-H. Yoon was supported by the NRF of Korea grants NRF-2019R1A2C108931011.

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