Derivatives in financial markets with stochastic volatility download

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This edition doesn't have a description yet. Can you add one? Previews available in: English. Add another edition? Copy and paste this code into your Wikipedia page. Need help? Derivatives in Financial Markets with Stochas Jean-Pierre Fouque, George Pap Donate this book to the Internet Archive library. If you own this book, you can mail it to our address below. Not in Library. Want to Read. Download for print-disabled. Check nearby libraries Library. Generalizations Applications to interest rates models.

Save to Library Save. Create Alert Alert. Share This Paper. Background Citations. Methods Citations. Results Citations. Citation Type. Has PDF. Publication Type. More Filters. Stochastic Volatility and Epsilon-Martingale Decomposition. We address the problems of pricing and hedging derivative securities in an environment of uncertain and changing market volatility.

We show that when volatility is stochastic but fast mean reverting … Expand. View 4 excerpts, cites background and methods. Convergence to Black-Scholes for ergodic volatility models. European Journal of Applied Mathematics. We study the effect of stochastic volatility on option prices. In the fast mean-reversion model for stochastic volatility of [5], we show that there is a full asymptotic expansion for the option … Expand. Highly Influenced.

View 15 excerpts, cites background. Classical Black-Scholes models are plagued by some well known pitfalls. To cite a few: Log-normality of asset prices is not verified by statistical tests, option prices are subject to the smile … Expand. In this paper, we study the Heston stochastic volatility model in the regime where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. We derive a … Expand. View 6 excerpts, cites background and methods.

Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Computer Science, Economics. This work investigates the valuation of options when the underlying asset follows a mean-reverting log-normal process with a stochastic volatility that is driven by two stochastic processes with one … Expand. We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option … Expand.