Option prices under stochastic volatility

doi:10.1016/j.aml.2012.07.014

科研成果详情

发表状态	已发表Published
题名	Option prices under stochastic volatility
作者	Han, Jiguang 1,2,3; Gao, Ming 3; Zhang, Qiang3 ; Li, Yutian 3
发表日期	2013
发表期刊	Applied Mathematics Letters
ISSN/eISSN	0893-9659
卷号	26 期号:1 页码:1-4
摘要	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.
关键词	Heston model Option pricing Stochastic volatility
DOI	10.1016/j.aml.2012.07.014
URL	查看来源
收录类别	SCIE ; SSCI
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000309300800001
原始文献类型	Article
引用统计	被引频次：6[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/2203
专题	个人在本单位外知识产出
通讯作者	Zhang, Qiang
作者单位	1.USTC-CityU Joint Advanced Research Center, Suzhou, China 2.Department of Statistics and Finance, University of Science and Technology of China, China 3.Department of Mathematics, City University of Hong Kong, Kowloon, Tat Chee Avenue 83, Hong Kong
推荐引用方式 GB/T 7714	Han, Jiguang,Gao, Ming,Zhang, Qianget al. Option prices under stochastic volatility[J]. Applied Mathematics Letters, 2013, 26(1): 1-4.
APA	Han, Jiguang, Gao, Ming, Zhang, Qiang, & Li, Yutian. (2013). Option prices under stochastic volatility. Applied Mathematics Letters, 26(1), 1-4.
MLA	Han, Jiguang,et al."Option prices under stochastic volatility". Applied Mathematics Letters 26.1(2013): 1-4.