In general, the pricing problems of exotic options in finance do not have analytic solutions under stochastic volatility and so it is hard to compute the option prices or at least it requires much of time to compute them. This paper investigates a semi-analytic pricing method for lookback...

We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland's discrete time replication scheme. The pricing equation becomes a nonlinear partial differential...

We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland's discrete time replication scheme. The pricing equation becomes a nonlinear partial differential...

In this paper, we extend a delayed geometric Brownian model by adding a stochastic volatility term, which is driven by a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an asymptotic method, we develop a theory for option pricing under...

The corrected diffusion effects caused by a noncentered stochastic system are studied in this paper. A diffusion limit theorem or CLT of the system is derived with the convergence error estimate. The estimate is obtained for large t (on the interval (0,t*), t* of the order of [var epsilon]-1)....