RePEc: Research Papers in Economics · 2000 · 569 citations · 0 references
BusinessFinanceFinancial EconomicsQuantitative FinanceStochastic ProcessesOption PricingOption Pricing ModelsStochastic CalculusStochastic Differential EquationsStochastic VolatilityVolatility ModelingContinuous-time ModelsOption Pricing TheoryOption Pricing Under Stochastic Interest RatesOption Pricing Under Stochastic VolatilityOption Pricing ValuationStochastic Valuation ModelsStochastic Volatility ModelsStochastic Volatility Pricing
The work is set in 2‑dimensional continuous‑time models with stochastic volatility. The book offers an advanced treatment of option valuation. It includes Mathematica code for key formulas and a Chapter 1 summary of results. It presents explicit equilibrium risk adjustments and numerous other new results.
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.