English, Article edition: Option pricing for some stochastic volatility models A. Thavaneswaran; J. Singh; S.S. Appadoo

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Option pricing for some stochastic volatility models
Author
  • A. Thavaneswaran
  • J. Singh
  • S.S. Appadoo
Physical Description
  • article
Notes
  • Purpose – To study stochastic volatility in the pricing of options. Design/​methodology/​approach – Random-coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option-pricing formula is viewed as a moment of a truncated normal distribution. Findings – Kurtosis for RCA and for GARCH process is derived. Application of random coefficient GARCH kurtosis in analytical approximation of option pricing is discussed. Originality/​value – Findings are useful in financial modeling.
  • Kurtosis, Pricing, Stochastic modelling
  • RePEc:eme:jrfpps:v:7:y:2006:i:4:p:425-445
Language
  • English
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