Option pricing with stochastic volatility
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Keywords

Black-Scholes-Merton model. Option pricing. Stochastic volatility. Call pricing. ARCH process. Stochastic process. General equilibrium.

How to Cite

Martin, D. M. L. (2007). Option pricing with stochastic volatility. Review of Business Management, 6(14), 34–41. https://doi.org/10.7819/rbgn.v6i14.15

Abstract

Among the underlying assumptions of the Black-Scholes option pricing model, the largest empirical biases are caused by those with a fixed volatility of the underlying asset. This article discusses the main approaches of this issue.

Key-words: Black-Scholes-Merton model. Option pricing. Stochastic volatility. Call pricing. ARCH process. Stochastic process. General equilibrium.

https://doi.org/10.7819/rbgn.v6i14.15
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