Ivan Burtnyak

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The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis
Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 126134
Views: 516 Downloads: 119 TO CITE АНОТАЦІЯThe paper deals with the spectral methods to calculate the value of the double barrier option generated by the Bessel diffusion process. This technique enables us to calculate the option price in the form of a FourierBessel series with the corresponding ratio. The autors propose a simple method to estimate options using the Green’s expansion function for boundary value problem for a singular parabolic equation. Thus, the accuracy of the estimation coincides with the accuracy of the convergence of the FourierBessel series.
In this paper, the authors use the spectral theory to calculate the price of derivatives of financial assets considering that the processes described are by Markov and can be considered in Hilbert spaces. In this work, the authors use the diffusion process to find derivatives prices by introducing them through the Bessel functions of first kind. They also examine the SturmLiouville problem where the boundary conditions utilize the Bessel functions and their derivatives. All assumptions lead to analytical formulae that are consistent with the empirical evidence and, when implemented in practice, reflect adequately the passage of processes on stock markets.
The authors also focus on the financial flows generated by Bessel diffusion processes which are presented in the system of Bessel functions of the first order under the condition that the linear combination of the flow and its spatial derivative are taken into account. Such a presentation enables us to calculate the market value of a share portfolio, provides the measurement of internal volatility in the market at any given time, and allows us to investigate the dynamics of the stock market.
The splitting of Green’s function in the system of Bessel functions is presented by an analytical formula which is convenient for calculating the price level of options. 
Spectral study of options based on CEV model with multidimensional volatility
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 1825
Views: 773 Downloads: 92 TO CITE АНОТАЦІЯThis article studies the derivatives pricing using a method of spectral analysis, a theory of singular and regular perturbations. Using a riskneutral assessment, the authors obtain the Cauchy problem, which allows to calculate the approximate price of derivative assets and their volatility based on the diffusion equation with fast and slow variables of nonlocal volatility, and they obtain a model with multidimensional stochastic volatility. Applying a spectral theory of selfadjoint operators in Hilbert space and a theory of singular and regular perturbations, an analytic formula for approximate asset prices is established, which is described by the CEV model with stochastic volatility dependent on lfast variables and rslowly variables, l ≥ 1, r ≥ 1, l ∈ N, r ∈ N and a local variable. Applying the SturmLiouville theory, Fredholm’s alternatives, as well as the analysis of singular and regular perturbations at different time scales, the authors obtained explicit formulas for derivatives price approximations. To obtain explicit formulae, it is necessary to solve 2l Poisson equations.

Taylor expansion for derivative securities pricing as a precondition for strategic market decisions
Problems and Perspectives in Management Volume 16, 2018 Issue #1 pp. 224231
Views: 740 Downloads: 53 TO CITE АНОТАЦІЯThe strategy of managing the pricing processes, in particular managing the dynamics of the price of the underlying asset and its volatility, the prices of indices, shares, options, the magnitude of financial flows, in the method of calculating the company’s rating based on the available quotations of securities, is developed. The article deals with the study of pricing and calculating the volatility of European options with general localstochastic volatility, applying Taylor series methods for degenerate diffusion processes. The application of this idea requires new approaches caused by degradation difficulties. Price approximation is obtained by solving the Cauchy problem of partial differential equations diffusion with inertia, and the volatility approximation is completely explicit, that is, it does not require special functions. If the payoff of options is a function of only x, then the Taylor series expansion does not depend on t and an analytical expression of the fundamental solution is considerably simplified. Applied an approach to the pricing of derivative securities on the basis of classical Taylor series expansion, when the stochastic process is described by the diffusion equation with inertia (degenerate parabolic equation). Thus, the approximate value of options can be calculated as effectively as the BlackScholes pricing of derivative securities. On the basis of the solved problem, it is possible to calculate their turns stepbystep. This enables to predict the dynamics of the pricing of derivatives and to create a strategy of behavior at options according to the passage of the process. For each approximation, price volatility is calculated, which makes it possible to take into account all changes in the market and to calculate possible situations. The stepbystep finding of the change in yield and volatility in the relevant analysis enables us to make informed strategic decisions by traders in the financial markets.

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