Stochastic volatility models with application in option pricing
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Publication:2324121
DOI10.1080/15598608.2010.10412003zbMath1420.91460OpenAlexW1984512433MaRDI QIDQ2324121
Publication date: 13 September 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2010.10412003
Black-Scholes modelTaylor expansionstochastic volatility modelmodified option pricing formularandom volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- The Pricing of Options and Corporate Liabilities
- THE GARCH OPTION PRICING MODEL
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
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