English, Article, Journal or magazine article edition: Stock Evolution under Stochastic Volatility: A Discrete Approach Leisen, Dietmar P.J.

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Bookmark: http://trove.nla.gov.au/version/52115
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stock Evolution under Stochastic Volatility: A Discrete Approach
Author
  • Leisen, Dietmar P.J.
Physical Description
  • preprint
Notes
  • This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in which volatility follows a separate diffusion process. It gereralizes the well-known binomial model, constructing a discrete two-dimensional lattice. We discuss convergence issues extensively and calculate prices and implied volatilities for European- and American-style put options.
  • binomial model, option valuation, lattice approach, stochastic volatility
  • RePEc:bon:bonsfb:407
Language
  • English
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