Stochastic models of resonating markets
β Scribed by Carlo Lucheroni
- Publisher
- Springer-Verlag
- Year
- 2009
- Tongue
- English
- Weight
- 786 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1860-711X
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π SIMILAR VOLUMES
This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r
In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker-Planck equation for non-equilibrium statistical systems and the Black-Scholes model for pricing s