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Option Valuation under Stochastic Volatility

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Abstract

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.
    • Handle: RePEc:vsv:vbooks:ovsv
    Note: Chapters 1, 2 and 6 are available online
    as

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    More about this item

    Keywords

    option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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