ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 1 Issue 3       Subscribe       Article       Related articles      
firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

Stochastic volatility and option pricing 

Author: D. Gkamas
DOI: 10.1088/1469-7688/1/3/601
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 1, Issue 3 March 2001 , pages 292 - 297
Formats available: PDF (English)
Article Requests: Order Reprints : Request Permissions
View Article: View Article (PDF) View Article (PDF)


Abstract

Through a simple Monte Carlo experiment, Dimitrios Gkamas documents the effects that stochastic volatility has on the distribution of returns and the inability of the normal distribution utilized by the Black-Scholes model to fit empirical returns. He goes on to investigate the implied volatility patterns that stochastic volatility models can generate and potentially explain.
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2009 Informa plc