Option Valuation under Stochastic Volatility
AbstractThis 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 InfoThis book is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number ovsv and published in 2000.
Note: Chapters 1, 2 and 6 are available online
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Web page: http://www.optioncity.net/
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.
- 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.
- 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.
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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