Academic Journal
A Simple Model For Option Pricing With Jumping Stochastic Volatility
| العنوان: | A Simple Model For Option Pricing With Jumping Stochastic Volatility |
|---|---|
| المؤلفون: | Stefano Herzel |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.wspc.com/journals/ijtaf/14/0004.pdf. |
| سنة النشر: | 1998 |
| المجموعة: | CiteSeerX |
| الوصف: | This paper proposes a simple modification of the Black--Scholes model by assuming that the volatility of the stock may jump at a random time # from a value #a to a value # b .It shows that, if the market price of volatility risk is unknown, but constant, all contingent claims can be valued from the actual price C0 , of some arbitrarily chosen "basis" option. Closed form solutions for the prices of European options as well as explicit formulas for |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.39.1408; http://www.wspc.com/journals/ijtaf/14/0004.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.39.1408 http://www.wspc.com/journals/ijtaf/14/0004.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.8906DF2E |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |