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Anglický jazyk
Pricing options using multifactor stochastic volatility models
Autor: Alessio Pieri
Accurate option pricing has been a main concern for financial quantitative practitioners and academics since the introduction of such instruments. The Black and Scholes option pricing formula is a cornerstone in the derivatives world; nonetheless it is... Viac o knihe
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O knihe
Accurate option pricing has been a main concern for financial quantitative practitioners and academics since the introduction of such instruments. The Black and Scholes option pricing formula is a cornerstone in the derivatives world; nonetheless it is based on a set of unrealistic assumptions and does not explain volatility patterns. Pricing options using multifactor stochastic volatility models illustrates step by step why volatility has to be considered a variable that moves in a random fashion and why multifactor stochastic volatility models have become the most popular among practitioners. The book also presents a practical framework for building multifactor stochastic volatility models. Matlab codes are provided in the appendix.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2011
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783846542781
