Concepedia

Stochastic Volatility Pricing

Stochastic Volatility Pricing is a financial modeling framework within asset pricing theory that extends contingent claim valuation by incorporating time-varying volatility governed by a stochastic process, thereby distinguishing itself from deterministic volatility models through its explicit representation of volatility risk as a latent, randomly evolving state variable.

526

Publications

41.5K

Citations

749

Authors

483

Institutions

Publications per year

2017–2026

81

Parents

Publications

526

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

, , +12

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 2.7K citations · Full text

, , +16

Stock Price Distributions with Stochastic Volatility: An Analytic Approach

Elias M. Stein, Jeremy C. Stein · Review of Financial Studies · 1991 · 1.6K citations

, , +13

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 1.2K citations

, , +12

Empirical Performance of Alternative Option Pricing Models

Gurdip Bakshi, Charles Cao, Zhiwu Chen · The Journal of Finance · 1997 · 1.1K citations

, , +16

1–5 of 526

Authors

749

  1. SZ
    Song‐Ping Zhu

    University of Wollongong, Australia

    17 publications · 586 citations

    15

    h-index

  2. XH
    Xin‐Jiang He

    Zhejiang University of Technology, China

    13 publications · 370 citations

    13

    h-index

  3. GL
    Guanghua Lian

    University of South Australia, Australia

    10 publications · 454 citations

    10

    h-index

  4. SL
    Sha Lin

    Zhejiang Gongshang University, China

    10 publications · 252 citations

    10

    h-index

  5. JF
    Jean‐Pierre Fouque

    University of California, Santa Barbara, United States

    10 publications · 540 citations

    10

    h-index

1–5 of 749

Institutions

483

  1. University of Wollongong

    Wollongong, Australia

    15 h-index

    32 publications

    1.5K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    14 h-index

    19 publications

    1.5K citations

  3. Princeton University

    Princeton, United States

    13 h-index

    16 publications

    2.1K citations

  4. Zhejiang Gongshang University

    Hangzhou, China

    11 h-index

    11 publications

    268 citations

  5. Yonsei University

    Seoul, South Korea

    11 h-index

    17 publications

    622 citations

  6. Zhejiang University of Technology

    Hangzhou, China

    10 h-index

    11 publications

    312 citations

  7. The University of Tokyo

    Tokyo, Japan

    9 h-index

    13 publications

    340 citations

  8. Swiss Finance Institute

    Zurich, Switzerland

    9 h-index

    12 publications

    365 citations

1–8 of 483

Venues

  1. SSRN Electronic Journal

    Repository · 73 publications · 2.5K citations

    26

    h-index

  2. Quantitative Finance

    35 publications · 2.3K citations

    24

    h-index

  3. Mathematical Finance

    18 publications · 2.5K citations

    17

    h-index

  4. Applied Mathematical Finance

    18 publications · 903 citations

    16

    h-index

  5. Journal of Futures Markets

    20 publications · 419 citations

    15

    h-index

1–5