Stochastic Volatility Models and Option Prices

DOI10.1007/11758549_51MaRDI QIDQ5301479zbMATH OpenOpenAlexFDO

Authors Akvilina Valaitytė, Eimutis Valakevičius

Publication date 20 January 2009

Published in Computational Science – ICCS 2006 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/11758549_51

Mathematics Subject Classification ID

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Cited in

(22)

• Modelling the stochastic dynamics of volatility for equity indices
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• Econometric specification of the risk neutral valuation model
• Comparison results for stochastic volatility models via coupling
• Stochastic volatility and option pricing with long-memory in discrete and continuous time
• Stochastic volatility models including open, close, high and low prices
• Pricing Options with Hybrid Stochastic Volatility Models
• Realized volatility forecasting and option pricing
• Complete–market models of stochastic volatility
• scientific article; zbMATH DE number 6521211 (Why is no real title available?)
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
• Local influence of stochastic volatility models
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• scientific article; zbMATH DE number 1865393 (Why is no real title available?)
• Option pricing: the reduced-form SDE model
• Excess volatility and stochastic approach of interest rates in stock market
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• scientific article; zbMATH DE number 2221215 (Why is no real title available?)
• Stochastic volatility demand systems
• Models of stochastic and chaotic volatility for news analysis
• Pricing of bond options. Unspanned stochastic volatility and random field models.
• The Black-Scholes equation in stochastic volatility models

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