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Option Pricing when the Variance Is Changing

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Author Info
Johnson, Herb
Shanno, David
Abstract

The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 22 (1987)
Issue (Month): 02 (June)
Pages: 143-151
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:22:y:1987:i:02:p:143-151_01

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  1. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  3. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January. [Downloadable!] (restricted)
  4. Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 227-236, November. [Downloadable!] (restricted)
  5. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus. [Downloadable!]
  6. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute. [Downloadable!]
  7. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO. [Downloadable!]
  8. Nigel Clarke, Kevin Parrott, 1999. "Multigrid for American option pricing with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 177-195, September. [Downloadable!] (restricted)
  9. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer, vol. 16(2), pages 97-109, June. [Downloadable!] (restricted)
  10. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus. [Downloadable!]
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  11. Xibin Zhang & Maxwell L. King, 2003. "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers 10/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  12. G. William Schwert & Paul J. Seguin, 1991. "Heteroskedasticity in Stock Returns," NBER Working Papers 2956, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
  14. Jiang, G. & Sluis, P.J. van der, 2000. "Index option pricing models with stochastic volatility and stochastic interest rates," Discussion Paper 36, Tilburg University, Center for Economic Research. [Downloadable!]
  15. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 109-141, June. [Downloadable!] (restricted)
  16. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity," Cahiers de recherche 0926, CIRPEE. [Downloadable!]
  17. Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Quantitative Finance Papers math/0205120, arXiv.org. [Downloadable!]
  18. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  19. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
  20. Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Working Papers 04-34, Bank of Canada. [Downloadable!]
  21. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO. [Downloadable!]
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