Option prices under stochastic volatility

doi:10.1016/j.aml.2012.07.014

Details of Research Outputs

Status	已发表Published
Title	Option prices under stochastic volatility
Creator	Han, Jiguang 1,2,3; Gao, Ming 3; Zhang, Qiang3 ; Li, Yutian 3
Date Issued	2013
Source Publication	Applied Mathematics Letters
ISSN	0893-9659
Volume	26 Issue:1 Pages:1-4
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.
Keyword	Heston model Option pricing Stochastic volatility
DOI	10.1016/j.aml.2012.07.014
URL	View source
Indexed By	SCIE ; SSCI
Language	英语English
WOS Research Area	Mathematics
WOS Subject	Mathematics, Applied
WOS ID	WOS:000309300800001
Original Document Type	Article
Citation statistics	Cited Times:6[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/2203
Collection	Research outside affiliated institution
Corresponding Author	Zhang, Qiang
Affiliation	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
Recommended Citation 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.

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