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Introduction and Summary of Results (Excerpt)

In: Option Valuation under Stochastic Volatility

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Author Info
Alan L. Lewis ()

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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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This chapter was published in: Alan L. Lewis (ed.) Option Valuation under Stochastic Volatility, FinancePress, chapter 1, 2000.

This item is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number ch1.

Handle: RePEc:vsv:svbook:ch1

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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).

Related research
This chapter was published in the following book, which is listed on IDEAS:
Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, March.
Keywords: option pricing stochastic volatility equilibrium smile term structure implied volatility eigenvalue variational Mathematica GARCH diffusion local martingale

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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