마코프 체인 근사법을 이용한 일반화 블랙-숄즈 모형 하의 옵션 가격 측정

This study suggests a numerical method for the valuation of European (or American) vanilla options under the generalized Black–Scholes model of an underlying asset price, which has functional forms for its own drift and volatility instead of the constant drift and the constant volatility such as Black Scholes model. The numerical method is based on a finite-state, locally homogeneous Markov chain approximation of the underlying asset price using the Euler discretization scheme of a stochastic process. We evaluate the appropriateness of the proposed method with the experimental results based on two asset price models, which are compared with those from the Crank–Nicolson