Influence of stochastic volatility for option pricing
The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2004-12-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/32204 |
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| Summary: | The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.
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| ISSN: | 0132-2818 2335-898X |