Option prices under stochastic volatility

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Detail(s)

Original languageEnglish
Pages (from-to)1-4
Journal / PublicationApplied Mathematics Letters
Volume26
Issue number1
Publication statusPublished - Jan 2013

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DOI

DOI
Check@CityULib
Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-84866042525&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(d1e7b48b-fe8d-49da-b893-87d8f1f43213).html

Abstract

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.

Research Area(s)

  • Heston model, Option pricing, Stochastic volatility

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Publication fingerprints text

100
Option Price Keyphrases
100
Stochastic Volatili... Keyphrases
100
stochastic processe... INIS
100
prices INIS
100
volatility INIS
100
Volatility Economics, Econometrics a...
100
Price Economics, Econometrics a...
66
Heston Model Keyphrases
50
solutions INIS
33
Numerical Solution Keyphrases
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Citation Format(s)

[ RIS ] [ BibTeX ]
Option prices under stochastic volatility. / Han, Jiguang; Gao, Ming; Zhang, Qiang et al.
In: Applied Mathematics Letters, Vol. 26, No. 1, 01.2013, p. 1-4.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review