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Stochastic volatility and the mean reverting process
- Source :
- Journal of Futures Markets. Jan, 2003, Vol. 23 Issue 1, p33, 15 p.
- Publication Year :
- 2003
-
Abstract
- This paper uses an extension of Hull and White's model in pricing European options. It employs a mean reverting volatility as the underlying asset, and a Taylor series expansion model is used to approximate the call option price in a market lacking arbitrage opportunities.
Details
- ISSN :
- 02707314
- Volume :
- 23
- Issue :
- 1
- Database :
- Gale General OneFile
- Journal :
- Journal of Futures Markets
- Publication Type :
- Periodical
- Accession number :
- edsgcl.95536983