Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
.
The SV options prices are functions of ρ,
v
κ ,
v
θ ,
v
σ , as well as asset price (F), strike price
(X), interest ….
Taking ρ,
v
κ ,
v
θ ,
v
σ , F, X, i, and T-t as given, instantaneous variance (V(t)) is chosen each
day to minimize the …).
8
Option prices that violated the no-arbitrage conditions on American options prices (C ≥ F –
X and P ≥ X – F …