option pricing under risk-minimization criterion in an incomplete market with the finite difference method
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2013
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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.
| Reference Key |
ruan2013mathematicaloption
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|---|---|
| Authors | ;Xinfeng Ruan;Wenli Zhu;Shuang Li;Jiexiang Huang |
| Journal | journal of power sources |
| Year | 2013 |
| DOI |
10.1155/2013/165727
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