Option Pricing Under Stochastic Volatility
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Option Pricing Under Stochastic Volatility Model
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Author : Hak Min Lim
language : en
Publisher:
Release Date : 2003
Option Pricing Under Stochastic Volatility Model written by Hak Min Lim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Option Pricing Under Stochastic Volatility
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Author : Dimitrios Gkamas
language : en
Publisher:
Release Date : 2002
Option Pricing Under Stochastic Volatility written by Dimitrios Gkamas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Option Pricing Under Stochastic Volatility
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Author : Martin Jan Andersen
language : en
Publisher:
Release Date : 2015
Option Pricing Under Stochastic Volatility written by Martin Jan Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Option Valuation Under Stochastic Volatility
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Author : Alan L. Lewis
language : en
Publisher:
Release Date : 2000
Option Valuation Under Stochastic Volatility written by Alan L. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
Option Pricing Under Stochastic Volatility And Trading Volume
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Author : Sadayuki Ono
language : en
Publisher:
Release Date : 2005
Option Pricing Under Stochastic Volatility And Trading Volume written by Sadayuki Ono and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
This paper presents a pricing formula for European options that is derived from a model in which changes in the underlying price and trading volumes are jointly determined by exogenous events. The joint determination of volume and price changes provides a crucial link between volatility of the price process and an observable variable. The model works as follows: the process of information arrival (news) is taken to be a point process that induces simultaneous jumps in price and trading volume. In addition, price has a diffusion component that corresponds to background noise, and the parameter that governs the volatility of this component is a continuously weighted average of past trading volume. This specification makes increments to the volatility process depend on the current level of volatility and news and thereby accounts for the observed persistence in volatility. Moreover, it makes volatility an observable instead of a latent variable, as it is in the usual stochastic volatility setups. Options can be priced as in the Heston framework by inverting the conditional characteristic function of underlying price at expiration. We find that the model accounts well for time varying volatility smiles and term structures and that out-of-sample price forecasts for a sample of stock options are superior not only to those of standard stochastic volatility models but even to the benchmark ad hoc procedure of plugging current implicit volatilities into the Black-Scholes formula.
Binomial Option Pricing Under Stochastic Volatility And Correlated State Variables
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Author : Jimmy E. Hilliard
language : en
Publisher:
Release Date : 1998
Binomial Option Pricing Under Stochastic Volatility And Correlated State Variables written by Jimmy E. Hilliard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
This article develops a method for valuing contingent payoffs for a non-constant volatility process via a simple recombining binomial tree. The direct application of the technology provides a way to price, for example, American calls or puts governed by a stock price process with stochastic volatility. The stock price and volatility diffusions may have non-zero correlations. This feature allows model prices consistent with the volatility smile. Numerical estimates of the hedge statistics (delta, gamma, and vega) are obtained directly from the tree.
Option Pricing Under Stochastic Volatility And Stochastic Interest Rate In The Spanish Case
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Author : Marc Sáez
language : en
Publisher:
Release Date : 1995
Option Pricing Under Stochastic Volatility And Stochastic Interest Rate In The Spanish Case written by Marc Sáez and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Options (Finance) categories.
American Option Pricing Under Stochastic Volatility
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Author : Manisha Goswami
language : en
Publisher:
Release Date : 2008
American Option Pricing Under Stochastic Volatility written by Manisha Goswami and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
The approximate method to price American options makes use of the fact that accurate pricing of these options does not require exact determination of the early exercise boundary. Thus, the procedure mixes the two models of constant and stochastic volatility. The idea is to obtain early exercise boundary through constant volatility model using the approximation methods of AitSahlia and Lai or Ju and then utilize this boundary to price the options under stochastic volatility models. The data on S & P 100 Index American options is used to analyze the pricing performance of the mixing of the two models. The performance is studied with respect to percentage pricing error and absolute pricing errors for each money-ness maturity group.
Option Pricing Under Stochastic Volatility For S P 500 And Ftse 100 Index Options
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Author : Yueh-Neng Lin
language : en
Publisher:
Release Date : 1999
Option Pricing Under Stochastic Volatility For S P 500 And Ftse 100 Index Options written by Yueh-Neng Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
American Options Under Stochastic Volatility
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Author : Arun Chockalingam
language : en
Publisher:
Release Date : 2012
American Options Under Stochastic Volatility written by Arun Chockalingam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrates that volatility is not constant and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under stochastic volatility which has relatively had much less attention from literature. First, we develop an exercise-policy improvement procedure to compute the optimal exercise policy and option price. We show that the scheme monotonically converges for various popular stochastic volatility models in literature. Second, using this computational tool, we explore a variety of questions that seek insights into the dependence of option prices, exercise policies and implied volatilities on the market price of volatility risk and correlation between the asset and stochastic volatility.