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Study of American Option Pricing Based on Levy Process
American Journal of Applied Mathematics
Volume 3, Issue 3, June 2015, Pages: 151-156
Received: May 8, 2015; Accepted: May 22, 2015; Published: Jun. 1, 2015
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Authors
Hong Zhang, School of Information, Beijing Wuzi University, Beijing, China
Jie Zhu, School of Information, Beijing Wuzi University, Beijing, China
Jian Guo, School of Information, Beijing Wuzi University, Beijing, China
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
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Abstract
After the 2008 financial crisis, the global derivatives trading volume in options proportion is growing, more and more investors build portfolios using options to hedge or arbitrage, our futures and stock options will soon open. Theoretical research of options is also changing, option pricing models under Levy processes developed rapidly. In this context, a review of the China's warrants market and the introduction of option pricing models can not only help us to reflect Chinese financial derivatives market regulation, but also to explore the option pricing theory for China`s financial market environment. In the framework of Monte Carlo simulation pricing, we established mufti-Levy process option pricing models, the structural model for the given parameter estimation and risk-neutral adjustment method are discussed, the last part of this chapter is an empirical analysis of China warrants trading data in order to prove the validate of Levy models.
Keywords
Levy Stochastic Processes, Option Pricing Models, Chinese Warrants Market, American Option Pricing, Risk-Neutral Adjustment, Variance Reduction Techniques
To cite this article
Hong Zhang, Jie Zhu, Jian Guo, Li Zhou, Study of American Option Pricing Based on Levy Process, American Journal of Applied Mathematics. Vol. 3, No. 3, 2015, pp. 151-156. doi: 10.11648/j.ajam.20150303.22
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