文章基本信息

标题：Asymmetry in the stochastic volatility models
本地全文：下载
作者：Negrea, Bogdan ; Bojesteanu, Elena
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2008
卷号：11(528)(supplement)
期号：11(528)(supplement)
页码：180-185
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the option price when the price is uncorrelated with its volatility.
关键词：stochastic models; stochastic volatility; option pricing; Fourier transform; closed-form formula.