Pricing options with stochastic volatility model.

• Main Authors: Lee, Sor Hong., Teo, Lay Leng., Teow, Hwee Ling.
• 其他作者: Low, Buen Sin
• 格式: Theses and Dissertations
• 語言: English
• 出版: 2008
• 主題: DRNTU::Business::Finance::Options
• 在線閱讀: http://hdl.handle.net/10356/7724

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...