Influence of stochastic volatility for option pricing

Akvilina Valaitytė; Eimutis Valakevičius

doi:10.15388/LMR.2004.32204

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Akvilina Valaitytė

Kaunas University of Technology

Eimutis Valakevičius

Kaunas University of Technology

Published 2004-12-17

https://doi.org/10.15388/LMR.2004.32204

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Keywords

asset price dynamics
stochastic volatility model
pricing options

How to Cite

Valaitytė, A. and Valakevičius, E. (2004) “Influence of stochastic volatility for option pricing”, Lietuvos matematikos rinkinys, 44(spec.), pp. 612–619. doi:10.15388/LMR.2004.32204.

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Abstract

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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