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Influence of stochastic volatility for option pricing
- Source :
- Lietuvos Matematikos Rinkinys, Vol 44, Iss spec. (2004)
- Publication Year :
- 2004
- Publisher :
- Vilnius University Press, 2004.
-
Abstract
- The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.
- Subjects :
- asset price dynamics
stochastic volatility model
pricing options
Mathematics
QA1-939
Subjects
Details
- Language :
- English, Lithuanian
- ISSN :
- 01322818 and 2335898X
- Volume :
- 44
- Issue :
- spec.
- Database :
- Directory of Open Access Journals
- Journal :
- Lietuvos Matematikos Rinkinys
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.1b40e874daf2449cb84e79d1167bc81c
- Document Type :
- article
- Full Text :
- https://doi.org/10.15388/LMR.2004.32204