Influence of stochastic volatility for option pricing

Influence of stochastic volatility for option pricing

The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.

Bibliographic Details
Main Authors: Akvilina Valaitytė, Eimutis Valakevičius
Format: Article
Language:English
Published: Vilnius University Press 2004-12-01
Series:Lietuvos Matematikos Rinkinys
Subjects:
asset price dynamics
stochastic volatility model
pricing options
Online Access:https://www.journals.vu.lt/LMR/article/view/32204

Internet

https://www.journals.vu.lt/LMR/article/view/32204

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