Pricing options with stochastic volatility model.

Pricing options with stochastic volatility model.

The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is...

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Bibliographic Details
Main Authors: Lee, Sor Hong., Teo, Lay Leng., Teow, Hwee Ling.
Other Authors: Low, Buen Sin
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
DRNTU::Business::Finance::Options
Online Access:http://hdl.handle.net/10356/7724
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Institution: Nanyang Technological University
Language: English
Description
Summary:The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is practically implementable.

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