Pricing options with stochastic volatility model.

• المؤلفون الرئيسيون: Lee, Sor Hong., Teo, Lay Leng., Teow, Hwee Ling.
• مؤلفون آخرون: Low, Buen Sin
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Options
• الوصول للمادة أونلاين: 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...