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Stochastic volatility models.
~
Zhang, Ming.
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Stochastic volatility models.
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Stochastic volatility models./
作者:
Zhang, Ming.
面頁冊數:
63 p.
附註:
Adviser: Yaozhong Hu.
Contained By:
Masters Abstracts International45-05.
標題:
Mathematics. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1443683
Stochastic volatility models.
Zhang, Ming.
Stochastic volatility models.
- 63 p.
Adviser: Yaozhong Hu.
Thesis (M.A.)--University of Kansas, 2007.
Black-Scholes model is easily used to compute the option price by using the no-arbitrage argument or risk-neutral method. But constant volatility can not explain the volatility smile. So, stochastic volatility models are developed to model volatility smile or skew. In order to obtain the option pricing formula from the S-V model, we have to introduce the benchmark to make markets complete. Then option pricing formula can be given by applying the same argument. Specifically, Heston's model can have a closed-form solution under the boundary conditions. We use Heston's model to show that the correlation rho and volatility of volatility sigma will definitely affect the skewness in the distribution of spot return and thus affect the pricing of options.Subjects--Topical Terms:
515831
Mathematics.
Stochastic volatility models.
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Black-Scholes model is easily used to compute the option price by using the no-arbitrage argument or risk-neutral method. But constant volatility can not explain the volatility smile. So, stochastic volatility models are developed to model volatility smile or skew. In order to obtain the option pricing formula from the S-V model, we have to introduce the benchmark to make markets complete. Then option pricing formula can be given by applying the same argument. Specifically, Heston's model can have a closed-form solution under the boundary conditions. We use Heston's model to show that the correlation rho and volatility of volatility sigma will definitely affect the skewness in the distribution of spot return and thus affect the pricing of options.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1443683
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