9 search results - page 1 / 2 » Option pricing and implied volatilities in a 2-hypergeometri... |
CORR
2007
Springer
13 years 4 months ago
2007
Springer
In this note, we show that simple models that explicitly accounts for the market participants’ fear that the stock prices will plunge, is capable of explaining the implied volat...
CORR
2007
Springer
13 years 4 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
FS
2010
13 years 2 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...
WSC
2007
13 years 6 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
WSC
2004
13 years 5 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...