Option Pricing when the Variance Is Changing

The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.

Year of publication:	1987
Authors:	Johnson, Herb ; Shanno, David
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 22.1987, 02, p. 143-151
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005609771