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Stochastic volatility and option pricing

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  • D. Gkamas

Abstract

Through a simple Monte Carlo experiment, Dimitrios Gkamas documents the effects that stochastic volatility has on the distribution of returns and the inability of the normal distribution utilized by the Black-Scholes model to fit empirical returns. He goes on to investigate the implied volatility patterns that stochastic volatility models can generate and potentially explain.

Suggested Citation

  • D. Gkamas, 2001. "Stochastic volatility and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 292-297, March.
    • Handle: RePEc:taf:quantf:v:1:y:2001:i:3:p:292-297
    DOI: 10.1088/1469-7688/1/3/601
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    Cited by:

    1. Hong, Hui & Bian, Zhicun & Chen, Naiwei, 2020. "Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Ghada Ali TIMRAZ & Faris Nasif AL-SHUBIRI, 2012. "The Impact Of Stock Options Trading On The Market Value Of Companies Listed In Kuwait Stock Exchange," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 2(3), pages 63-76, September.

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