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Stochastic volatility and the mean reverting process

Authors :
Sabanis, Sotirios
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