Add to ORKGAbstract. We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochas-tic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pric-ing KOSPI 200 index options. 1
International audienceThis paper fulfills the lack of option pricing empirical studies devoted to the...
We are concerned with the valuation of European options in Heston’s stochas-tic volatility model wit...
The purpose of this research is to apply stochastic modeling methods to determine the prices of stoc...
This paper examines alternative methods for pricing options when the underlying security volatilit...
Options are an important building block of modern financial markets. The theory underlying their val...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
This paper studies the price of S&P 500 index options by using Heston's (1993) stochastic volatility...
In the past four decades, derivative markets have become increasingly important in the world of fina...
The purpose of this thesis is to compare the pricing power of two different option pricing models on...
We develop a qualitative and quantitative analysis on stochastic volatility models. These models rep...
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot i...
The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with th...
This paper fulfills the lack of option pricing empirical studies devoted ...
Substantial progress has been made in developing more realistic option pricing models. Empirically, ...
International audienceThis paper fulfills the lack of option pricing empirical studies devoted to the...
We are concerned with the valuation of European options in Heston’s stochas-tic volatility model wit...
The purpose of this research is to apply stochastic modeling methods to determine the prices of stoc...
This paper examines alternative methods for pricing options when the underlying security volatilit...
Options are an important building block of modern financial markets. The theory underlying their val...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
This paper studies the price of S&P 500 index options by using Heston's (1993) stochastic volatility...
In the past four decades, derivative markets have become increasingly important in the world of fina...
The purpose of this thesis is to compare the pricing power of two different option pricing models on...
We develop a qualitative and quantitative analysis on stochastic volatility models. These models rep...
This paper specifies a multivariate stochastic volatility (SV) model for the S&P500 index and spot i...
The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with th...
This paper fulfills the lack of option pricing empirical studies devoted ...
Substantial progress has been made in developing more realistic option pricing models. Empirically, ...
International audienceThis paper fulfills the lack of option pricing empirical studies devoted to the...
We are concerned with the valuation of European options in Heston’s stochas-tic volatility model wit...
The purpose of this research is to apply stochastic modeling methods to determine the prices of stoc...