Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239493 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
American option
barrier option
Lévy process
Monte-Carlo simulation
stochastic volatility
JEL: 
C15
C22
C60
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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