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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| _version_ | 1832593173453471744 |
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| author | Akvilina Valaitytė Eimutis Valakevičius |
| author_facet | Akvilina Valaitytė Eimutis Valakevičius |
| author_sort | Akvilina Valaitytė |
| collection | DOAJ |
| description |
The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.
|
| format | Article |
| id | doaj-art-1b40e874daf2449cb84e79d1167bc81c |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2004-12-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-1b40e874daf2449cb84e79d1167bc81c2025-01-20T18:16:29ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2004-12-0144spec.10.15388/LMR.2004.32204Influence of stochastic volatility for option pricingAkvilina Valaitytė0Eimutis Valakevičius1Kaunas University of TechnologyKaunas University of Technology The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done. https://www.journals.vu.lt/LMR/article/view/32204asset price dynamicsstochastic volatility modelpricing options |
| spellingShingle | Akvilina Valaitytė Eimutis Valakevičius Influence of stochastic volatility for option pricing Lietuvos Matematikos Rinkinys asset price dynamics stochastic volatility model pricing options |
| title | Influence of stochastic volatility for option pricing |
| title_full | Influence of stochastic volatility for option pricing |
| title_fullStr | Influence of stochastic volatility for option pricing |
| title_full_unstemmed | Influence of stochastic volatility for option pricing |
| title_short | Influence of stochastic volatility for option pricing |
| title_sort | influence of stochastic volatility for option pricing |
| topic | asset price dynamics stochastic volatility model pricing options |
| url | https://www.journals.vu.lt/LMR/article/view/32204 |
| work_keys_str_mv | AT akvilinavalaityte influenceofstochasticvolatilityforoptionpricing AT eimutisvalakevicius influenceofstochasticvolatilityforoptionpricing |