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Option pricing under model involving slow growth volatility
Journal article   Peer reviewed

Option pricing under model involving slow growth volatility

Abdelghani Benjouad, Mohammed Kbiri Alaoui, Driss Meskine and Ali Souissi
International journal of computer mathematics, Vol.88(13), pp.2770-2781
09/2011
DOI: https://doi.org/10.1080/00207160.2011.557070

Abstract

CEV model degenerate parabolic equations finite difference methods option pricing
In this paper, we present a new model of the European option price, it is about a model involving slow growth volatility. The SGV model (slow growth volatility model) is the name of the new model considered in this manuscript. The mathematical analysis shows that one has to resort to a degenerate parabolic equation, the resolution of which gives the price of the European option as a function of the time, the price of the underlying asset and the instantaneous volatility.

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