Pricing Options Using Multifactor Stochastic Volatility Models

Pricing Options Using Multifactor Stochastic Volatility Models
Author :
Publisher :
Total Pages : 96
Release :
ISBN-13 : 3846542784
ISBN-10 : 9783846542781
Rating : 4/5 (81 Downloads)
DOWNLOAD EBOOK
Book Synopsis Pricing Options Using Multifactor Stochastic Volatility Models by : Alessio Pieri

Download or read book Pricing Options Using Multifactor Stochastic Volatility Models written by Alessio Pieri and published by . This book was released on 2011-11 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:


Pricing Options Using Multifactor Stochastic Volatility Models Related Books

Pricing Options Using Multifactor Stochastic Volatility Models
Language: en
Pages: 96

Pricing Options Using Multifactor Stochastic Volatility Models

Authors: Alessio Pieri
Categories:
Type: BOOK - Published: 2011-11 - Publisher:

DOWNLOAD EBOOK

Pricing Forward Skew Dependent Derivatives
Language: en
Pages: 29

Pricing Forward Skew Dependent Derivatives

Authors: Jacinto Marabel Romo
Categories:
Type: BOOK - Published: 2014 - Publisher:

DOWNLOAD EBOOK

Empirical evidence shows that, in equity options markets, the slope of the skew is largely independent of the volatility level. Single-factor stochastic volatil
Pricing Options Under Heston's Stochastic Volatility Model Via Accelerated Explicit Finite Differencing Methods
Language: en
Pages: 41

Pricing Options Under Heston's Stochastic Volatility Model Via Accelerated Explicit Finite Differencing Methods

Authors: Conall O'Sullivan
Categories:
Type: BOOK - Published: 2010 - Publisher:

DOWNLOAD EBOOK

We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Su
Pricing VIX Options with Multifactor Stochastic Volatility
Language: en
Pages: 71

Pricing VIX Options with Multifactor Stochastic Volatility

Authors: Pascal Marco Caversaccio
Categories:
Type: BOOK - Published: 2016 - Publisher:

DOWNLOAD EBOOK

By exploiting the flexibility of the Wishart process, we propose an application of this framework to the pricing of Chicago Board Options Exchange (CBOE) volati
Empirical Performance of Option Pricing Models with Stochastic Local Volatility
Language: en
Pages: 16

Empirical Performance of Option Pricing Models with Stochastic Local Volatility

Authors: Greg Orosi
Categories:
Type: BOOK - Published: 2014 - Publisher:

DOWNLOAD EBOOK

We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our result