Download or read book Option Valuation Under Stochastic Volatility written by Alan L. Lewis and published by . This book was released on 2000 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Application of Stochastic Volatility Models in Option Pricing written by Pascal Debus and published by GRIN Verlag. This book was released on 2013-09-09 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelorarbeit aus dem Jahr 2010 im Fachbereich BWL - Investition und Finanzierung, Note: 1,2, EBS Universität für Wirtschaft und Recht, Sprache: Deutsch, Abstract: The Black-Scholes (or Black-Scholes-Merton) Model has become the standard model for the pricing of options and can surely be seen as one of the main reasons for the growth of the derivative market after the model ́s introduction in 1973. As a consequence, the inventors of the model, Robert Merton, Myron Scholes, and without doubt also Fischer Black, if he had not died in 1995, were awarded the Nobel prize for economics in 1997. The model, however, makes some strict assumptions that must hold true for accurate pricing of an option. The most important one is constant volatility, whereas empirical evidence shows that volatility is heteroscedastic. This leads to increased mispricing of options especially in the case of out of the money options as well as to a phenomenon known as volatility smile. As a consequence, researchers introduced various approaches to expand the model by allowing the volatility to be non-constant and to follow a sto-chastic process. It is the objective of this thesis to investigate if the pricing accuracy of the Black-Scholes model can be significantly improved by applying a stochastic volatility model.
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Download or read book Option Pricing with Stochastic Volatility written by Zhao Dan and published by . This book was released on 2004 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Valuation Under Stochastic Volatility II written by Alan L. Lewis and published by . This book was released on 2016-05-12 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Download or read book Multiscale Stochastic Volatility for Equity Interest Rate and Credit Derivatives written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2011-09-29 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
Download or read book Option Pricing with Stochastic Volatility written by S M. Shahin and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Pricing Models and Volatility Using Excel VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Download or read book The Volatility Surface written by Jim Gatheral and published by John Wiley & Sons. This book was released on 2011-03-10 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP
Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Download or read book Empirical Performance of Option Pricing Models with Stochastic Local Volatility written by Greg Orosi and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our results indicate that the stochastic volatility model with quadratic local volatility significantly outperforms the stochastic volatility model with CEV type local volatility. Moreover, we compare the performance of these models to several other benchmarks and find that the quadratic local volatility model compares well to the best performing option pricing models reported in the current literature for European-style S&P500 index options. Our results also indicate that the model with quadratic local volatility reproduces the characteristics of the implied volatility surface more accurately than the Heston model. Finally, we demonstrate that capturing the shape of the implied volatility surface is necessary to price binary options accurately.
Download or read book A Simple New Formula for Options with Stochastic Volatility written by Steven L. Heston and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows a relationship between bond pricing models and option pricing models with stochastic volatility. It exploits this relationship to find a new stochastic volatility model with a closed-form solution for European option prices. The model allows nonzero correlation between volatility and spot asset returns. When the correlation is unity the model contains the Black-Scholes [1973] model and Cox's [1975] constant elasticity of variance model as special cases. The option formula preserves the Black-Scholes property that changes in volatility are equivalent to changes in option expiration.
Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.
Download or read book Option Pricing Under Stochastic Volatility Model written by Hak Min Lim and published by . This book was released on 2003 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Volatility Models with Applications to Option Pricing written by K. Khorasani and published by . This book was released on 1998 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Volatility in Mean Option Pricing Models written by Lishan Shi and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Option Pricing in Stochastic Volatility Models of the Ornstein Uhlenbeck Type written by E. Nicolato and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
