Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method

Xinfeng Ruan, Wenli Zhu, Shuang Li and Jiexiang Huang

Mathematical Problems in Engineering, 2013, vol. 2013, 1-9

Abstract:

We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset is governed by a jump diffusion equation with stochastic volatility. We obtain the Radon-Nikodym derivative for the minimal martingale measure and a partial integro-differential equation (PIDE) of European option. The finite difference method is employed to compute the European option valuation of PIDE.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2013/165727.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2013/165727.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:165727

DOI: 10.1155/2013/165727

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().