A simple European option pricing formula with a skew Brownian motion

IF 0.7 3区工程技术 Q4 ENGINEERING, INDUSTRIAL

Probability in the Engineering and Informational Sciences Pub Date : 2022-11-29 DOI:10.1017/s0269964822000407

P. Pasricha, Xin‐Jiang He

引用次数: 1

Abstract

Zhu and He [(2018). A new closed-form formula for pricing European options under a skew Brownian motion. The European Journal of Finance 24(12): 1063–1074] provided an innovative closed-form solution by replacing the standard Brownian motion in the Black–Scholes framework using a particular skew Brownian motion. Their formula involves numerically integrating the product of the Guassian density and corresponding distribution function. Being different from their pricing formula, we derive a much simpler formula that only involves the Gaussian distribution function and Owen's $T$ function.

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一个带有偏布朗运动的简单欧式期权定价公式

朱、何[2018]。偏斜布朗运动下欧式期权定价的新封闭公式。[欧洲金融杂志24(12):1063-1074]通过使用一个特殊的偏布朗运动代替Black-Scholes框架中的标准布朗运动，提供了一个创新的封闭形式解决方案。他们的公式包括对高斯密度和相应分布函数的乘积进行数值积分。与他们的定价公式不同，我们推导了一个更简单的公式，只涉及高斯分布函数和欧文的$T$函数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability in the Engineering and Informational Sciences 数学-工程：工业

CiteScore

2.20

自引率

18.20%

发文量

审稿时长

>12 weeks

期刊介绍： The primary focus of the journal is on stochastic modelling in the physical and engineering sciences, with particular emphasis on queueing theory, reliability theory, inventory theory, simulation, mathematical finance and probabilistic networks and graphs. Papers on analytic properties and related disciplines are also considered, as well as more general papers on applied and computational probability, if appropriate. Readers include academics working in statistics, operations research, computer science, engineering, management science and physical sciences as well as industrial practitioners engaged in telecommunications, computer science, financial engineering, operations research and management science.