A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
β Scribed by Vicky Henderson; David Hobson; Sam Howison; Tino Kluge
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 320 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property
Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump
## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economyβwide and the ratingβspecific factors, wh