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On Black–Scholes option pricing model with stochastic volatility: an information theoretic approach
Stochastic Analysis and Applications ( IF 0.8 ) Pub Date : 2020-07-26
Luckshay Batra, H. C. Taneja

In this article, we derive the risk-neutral measures of the stock options price and volatility by incorporating a simple constrained minimization of the Kullback measure of relative information. We obtain a second-order parabolic partial differential equation, the generalized Black–Scholes equation based on the theoretical analysis when the underlying financial asset is estimated using a stochastic volatility model. Also to investigate the analytical solution of this generalized Black–Scholes equation we have used Laplace transform homotopy perturbation method.



中文翻译:

具有随机波动率的Black-Scholes期权定价模型:一种信息理论方法

在本文中,我们通过结合相对信息的Kullback度量的简单约束最小化,得出了股票期权价格和波动率的风险中性度量。当使用随机波动率模型估算基础金融资产时,我们基于理论分析获得了二阶抛物型偏微分方程,即广义Black-Scholes方程。另外,为了研究此广义Black-Scholes方程的解析解,我们使用了Laplace变换同伦摄动方法。

更新日期:2020-07-26
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