Asymmetry in the stochastic volatility models

This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the option price when the price is uncorrelated with its volatility.

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Year of publication:	2008
Authors:	Negrea, Bogdan ; Bojesteanu, Elena
Published in:	Theoretical and Applied Economics. - Asociaţia Generalā a Economiştilor din România - AGER. - Vol. 11(528)(supplement).2008, 11(528)(supplement), p. 180-185
Publisher:	Asociaţia Generalā a Economiştilor din România - AGER
Subject:	stochastic models \| stochastic volatility \| option pricing \| Fourier transform \| closed-form formula

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005099686