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Equilibrium Option Valuation with Systematic Stochastic Volatility
Option Valuation Under Stochastic Volatility
Stochastic Volatility and Option Valuation
Option Valuation Under Stochastic Volatility
Option Valuation Under Stochastic Volatility II
Author: Alan L. Lewis
Publisher:
Published: 2016-05-12
Total Pages: 748
ISBN-13: 9780967637211
DOWNLOAD EBOOK →This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That
Empirical Option Pricing Models
Author: David S. Bates
Publisher:
Published: 2021
Total Pages:
ISBN-13:
DOWNLOAD EBOOK →This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.
Mathematical Modeling And Methods Of Option Pricing
Author: Lishang Jiang
Publisher: World Scientific Publishing Company
Published: 2005-07-18
Total Pages: 343
ISBN-13: 9813106557
DOWNLOAD EBOOK →From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
A Simple New Formula for Options with Stochastic Volatility
Author: Steven L. Heston
Publisher:
Published: 1998
Total Pages:
ISBN-13:
DOWNLOAD EBOOK →This paper shows a relationship between bond pricing models and option pricing models with stochastic volatility. It exploits this relationship to find a new stochastic volatility model with a closed-form solution for European option prices. The model allows nonzero correlation between volatility and spot asset returns. When the correlation is unity the model contains the Black-Scholes [1973] model and Cox's [1975] constant elasticity of variance model as special cases. The option formula preserves the Black-Scholes property that changes in volatility are equivalent to changes in option expiration.
Option Hedging and Valuation Under Stochastic Volatility
