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Option Valuation under Stochastic Volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics Alan L. Lewis () (OptionCity.net )
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registered author(s):
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.
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ReDIF This book is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number
ovsv and published in 2000.
Handle: RePEc:vsv:vbooks:ovsv
Note: Chapters 1, 2 and 6 are available onlineContact details of provider: Phone: (949)720-9614 Fax: (949)720-9631 Web page: http://www.optioncity.net/
For technical questions regarding this item, or to correct its listing, contact: (Alan Lewis).
The following chapters of this book are listed in IDEAS :Alan L. Lewis, 2000.
"Introduction and Summary of Results (Excerpt) ,"
Option Valuation under Stochastic Volatility ,
in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 1
Finance Press.
[Downloadable!] Alan L. Lewis, 2000.
"The Fundamental Transform (Excerpt) ,"
Option Valuation under Stochastic Volatility ,
in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 2
Finance Press.
[Downloadable!] Alan L. Lewis, 2000.
"The Term Structure of Implied Volatility ,"
Option Valuation under Stochastic Volatility ,
in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 6
Finance Press.
[Downloadable!] Keywords: option pricing ; stochastic volatility ; equilibrium ; smile ; term structure ; implied volatility ; eigenvalue ; variational ; Mathematica ; GARCH diffusion ; local martingale ; Other versions of this item:
Find related papers by JEL classification: G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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This page was last updated on 2009-10-31.
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