TY - JOUR
T1 - Option prices under stochastic volatility
AU - Han, Jiguang
AU - Gao, Ming
AU - Zhang, Qiang
AU - Li, Yutian
PY - 2013/1
Y1 - 2013/1
N2 - The well known Heston model for stochastic volatility captures the reality of the motion of stock prices in our financial market. However, the solution of this model is expressed as integrals in the complex plane and has difficulties in numerical evaluation. Here, we present closed-form solutions for option prices and implied volatilities in terms of series expansions. We show that our theoretical predictions are in remarkably good agreement with numerical solutions of the Heston model of stochastic volatility. © 2012 Elsevier Ltd. All rights reserved.
AB - The well known Heston model for stochastic volatility captures the reality of the motion of stock prices in our financial market. However, the solution of this model is expressed as integrals in the complex plane and has difficulties in numerical evaluation. Here, we present closed-form solutions for option prices and implied volatilities in terms of series expansions. We show that our theoretical predictions are in remarkably good agreement with numerical solutions of the Heston model of stochastic volatility. © 2012 Elsevier Ltd. All rights reserved.
KW - Heston model
KW - Option pricing
KW - Stochastic volatility
UR - http://www.scopus.com/inward/record.url?scp=84866042525&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84866042525&origin=recordpage
U2 - 10.1016/j.aml.2012.07.014
DO - 10.1016/j.aml.2012.07.014
M3 - RGC 21 - Publication in refereed journal
SN - 0893-9659
VL - 26
SP - 1
EP - 4
JO - Applied Mathematics Letters
JF - Applied Mathematics Letters
IS - 1
ER -