Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates

This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium are constant, which is unrealistic in the real market. To ad...

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Veröffentlicht in:	arXiv.org 2024-08
Hauptverfasser:	Hao, Nicole, Li, Echo, Luong-Le, Diep
Format:	Artikel
Sprache:	eng
Schlagworte:	Closed form solutions Finite difference method Interest rates Parabolic differential equations Partial differential equations Pricing Volatility
Online-Zugang:	Volltext
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