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Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.42/5 ( download)
Download or read book Option Valuation with Systematic Stochastic Volatility written by Kaushik I. Amin and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.34/5 ( download)
Download or read book Equilibrium Option Valuation with Systematic Stochastic Volatility written by Kaushik I. Amin and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan L. Lewis
Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.27/5 ( download)
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:
Author : Francis A. Longstaff
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.16/5 ( download)
Download or read book Stochastic Volatility and Option Valuation written by Francis A. Longstaff and published by . This book was released on 1995 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Dent Reeves
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.00/5 ( download)
Download or read book Option Valuation Under Stochastic Volatility written by Robert Dent Reeves and published by . This book was released on 1989 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan L. Lewis
Publisher :
ISBN 13 : 9780967637211
Total Pages : 748 pages
Book Rating : 4.1X/5 ( download)
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
Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.34/5 ( download)
Download or read book Empirical Option Pricing Models written by David S. Bates and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.
Author : Steven L. Heston
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.36/5 ( download)
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.
Author : Joshua Rosenberg
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.81/5 ( download)
Download or read book Option Hedging and Valuation Under Stochastic Volatility written by Joshua Rosenberg and published by . This book was released on 1996 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antoine Petrus Cornelius van der Ploeg
Publisher : Rozenberg Publishers
ISBN 13 : 9051705778
Total Pages : 358 pages
Book Rating : 4.75/5 ( download)
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
