A Review of Volatility and Option Pricing

Details A Review of Volatility and Option Pricing A Review of Volatility and Option Pricing

2009-04-08

arxiv.org/abs/0904.1292v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less commonly known models e.g. hybrid models. We explain various volatility types (e.g. realised and implied volatility) and discuss the empirical properties.

Affiliated with

Also associated with

No associations

Rating

A Review of Volatility and Option Pricing does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Review of Volatility and Option Pricing, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Review of Volatility and Option Pricing will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-214325