Option Pricing under Stochastic Trading Volume Dynamics: Measure Transformation and Empirical Validation
Received:July 16, 2025  Revised:February 03, 2026
Key Words: stochastic trading volume   risk-neutral measure   European option pricing   alternating direction implicit   China Securities Index 300 index  
Fund Project:Supported by the National Natural Science Foundation of China (Grant No.12371154), the National Key R&D Program of China (Grant No.2023YFA1009200), the Dalian High-level Talent Innovation Program (Grant No.2020RD09) and the Natural Science Foundation of Inner Mongolia (Grant No.2025MS01025).
Author NameAffiliation
Li Haoyuan School of Mathematical Sciences, Dalian University of Technology, Dalian, Liaoing 116024, P. R. China 
Lu Dawei School of Mathematical Sciences, Dalian University of Technology, Dalian, Liaoing 116024, P. R. China 
Hits: 150
Download times: 25
Abstract:
      
Citation:
DOI:10.3770/j.issn:2095-2651.2026.04.009
View Full Text  View/Add Comment  
  Copyright © Journal of Mathematical Research with Applications
Sponsored by：Dalian University of Technology, China Society for Industrial and Applied Mathematics
Address：No.2 Linggong Road, Ganjingzi District, Dalian City, Liaoning Province, P. R. China , Postal code ：116024
Service Tel：86-411-84707392 Email：jmre@dlut.edu.cn
Designed by Beijing E-tiller Co.,Ltd.
Due to security factors, early browsers cannot log in. It is recommended to log in with IE10, IE11, Google, Firefox, and 360 new browsers.