Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Young Shin Kim

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options market, using the least square regression method. Moreover, we discuss path-dependent options, such as Asian and Barrier options.

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Year of publication:	2021
Authors:	Kim, Young Shin
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 2/77, p. 1-18
Subject:	American option \| barrier option \| Lévy process \| Monte-Carlo simulation \| stochastic volatility \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Simulation \| Derivat \| Derivative

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm14020077 [DOI] hdl:10419/239493 [Handle]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

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