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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.

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Bibliographic Info

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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 online
Contact details of provider:
Phone: (949)720-9614
Fax: (949)720-9631
Web page: http://www.optioncity.net/

The following chapters of this book are listed in IDEAS:

Related research

Keywords: option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;

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