IDEAS home Printed from https://ideas.repec.org/a/bla/jorssa/v180y2017i2p683-684.html
   My bibliography  Save this article

Option Valuation under Stochastic Volatility, vol. II A. L. Lewis , 2016 Newport Beach , Finance Press 738 pp., £67.50 ISBN 978-0-967-63721-1

Author

Listed:
  • Sebastian Dietz

Abstract

No abstract is available for this item.

Suggested Citation

  • Sebastian Dietz, 2017. "Option Valuation under Stochastic Volatility, vol. II A. L. Lewis , 2016 Newport Beach , Finance Press 738 pp., £67.50 ISBN 978-0-967-63721-1," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 683-684, February.
    • Handle: RePEc:bla:jorssa:v:180:y:2017:i:2:p:683-684
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/rssa.12262
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    2. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    2. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
    3. Bertram During & Christian Hendricks & James Miles, 2016. "Sparse grid high-order ADI scheme for option pricing in stochastic volatility models," Papers 1611.01379, arXiv.org.
    4. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, October.
    5. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
    6. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
    7. Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il, 2019. "Solution of option pricing equations using orthogonal polynomial expansion," Papers 1912.06533, arXiv.org, revised Jun 2020.
    8. Minqiang Li, 2015. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 582-595, June.
    9. Josef Danv{e}k & J. Posp'iv{s}il, 2020. "Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models," Papers 2006.13181, arXiv.org.
    10. Emmanuel Coffie, 2022. "Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process," Papers 2205.00634, arXiv.org.
    11. Lixin Wu & Fan Zhang, 2008. "Fast swaption pricing under the market model with a square-root volatility process," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 163-180.
    12. Lorenzo Torricelli, 2012. "Valuation of asset and volatility derivatives using decoupled time-changed L\'evy processes," Papers 1210.5479, arXiv.org, revised Jan 2015.
    13. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Nikolai Dokuchaev, 2017. "A pathwise inference method for the parameters of diffusion terms," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 731-743, October.
    15. Lorenzo Torricelli, 2012. "Pricing joint claims on an asset and its realized variance under stochastic volatility models," Papers 1206.2112, arXiv.org.
    16. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
    17. Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017. "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 276-295, May.
    18. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
    19. Masaaki Fukasawa, 2011. "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, vol. 15(4), pages 635-654, December.
    20. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model," Post-Print hal-02909113, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jorssa:v:180:y:2017:i:2:p:683-684. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.