Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model

Details Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model

2003-07-31

arxiv.org/abs/cond-mat/0307759v1

Eur. Phys. J. B 42, 141--153 (2004)

Physics

Condensed Matter

Statistical Mechanics

21 pages, 3 figures, submitted for publication

Scientific paper

10.1140/epjb/e2004-00366-7

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial derivative equations, which gives a different perspective to the problem. Within our framework we can easily consider several prescriptions for the market price of volatility risk, and interpret their financial meaning. Thus, we recover solutions previously cited in the literature as well as obtain new ones.

Affiliated with

Also associated with

No associations

Rating

Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model 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 Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-333415