English, Article edition: A NUMERICAL ANALYSIS OF THE EXTENDED BLACKâSCHOLES MODEL SERGIO ALBEVERIO; ALEX POPOVICI; VICTORIA STEBLOVSKAYA

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Bookmark: http://trove.nla.gov.au/version/83286
Physical Description
  • article
Language
  • English

Edition details

Title
  • A NUMERICAL ANALYSIS OF THE EXTENDED BLACKâSCHOLES MODEL
Author
  • SERGIO ALBEVERIO
  • ALEX POPOVICI
  • VICTORIA STEBLOVSKAYA
Physical Description
  • article
Notes
  • In this article some numerical results regarding the multidimensional extension of the BlackâScholes model introduced by Albeverio and Steblovskaya [1] (a multidimensional model with stochastic volatilities and correlations) are presented. The focus lies on aspects concerning the use of this model for the practice of financial derivatives. Two parameter estimation methods for the model using historical data from the market and an analysis of the corresponding numerical results are given. Practical advantages of pricing derivatives using this model compared to the original multidimensional BlackâScholes model are pointed out. In particular the prices of vanilla options and of implied volatility surfaces computed in the model are close to those observed on the market.
  • Multidimensional BlackâScholes model, stochastic volatilities and correlations, pricing of contingent claims
  • RePEc:wsi:ijtafx:v:09:y:2006:i:01:p:69-89
Language
  • English
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