Option Pricing with Stochastic Volatility

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Numerical Solution of Pricing of European Put Option with Stochastic Volatility

In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stockprice from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved byCrank-Nicolson finite difference method for various interest rates and maturity in time. Thesensitivity measures...

متن کامل

Option pricing under the double stochastic volatility with double jump model

In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier tra...

متن کامل

Long memory stochastic volatility in option pricing

The aim of this paper is to present a stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the ...

متن کامل

Option Pricing under Ornstein-uhlenbeck Stochastic Volatility

We consider the problem of option pricing under stochastic volatility models, focusing on the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. We show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we derive the expressions of the characteristic function and the first four cumulants for the risk neutral probabili...

متن کامل

Regime Switching Stochastic Volatility with Perturbation Based Option Pricing

Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretical arguments and empirical observations. However such models lack the ability to take into account long term and fundamental economic factors e.g. credit crunch. Regime switching models with mean r...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Applied Mathematics and Physics

سال: 2015

ISSN: 2327-4352,2327-4379

DOI: 10.4236/jamp.2015.312189