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arXiv · 2101.11001

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Young Shin Kim
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Abstract

This paper proposes the sample path generation method for the stochastic volatility version of 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.

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Young Shin Kim. 2021-01-25. Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. https://doi.org/10.3390/jrfm14020077

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