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Asymmetry in the stochastic volatility models

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Author Info
Bogdan Negrea (Academy of Economic Studies, Bucharest)
Elena Bojesteanu (Academy of Economic Studies, Bucharest)

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Abstract

This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the option price when the price is uncorrelated with its volatility.

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File URL: http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf
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Publisher Info
Article provided by Asociatia Generala a Economistilor din Romania - AGER in its journal Theoretical and Applied Economics.

Volume (Year): 11(528)(supplement) (2008)
Issue (Month): 11(528)(supplement) (November)
Pages: 180-185
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Handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:180-185

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Related research
Keywords: stochastic models; stochastic volatility; option pricing; Fourier transform; closed-form formula.;

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This page was last updated on 2009-10-27.

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