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| Author: | Johnson, H. Shanno, D. |
| Title: | Option pricing when the variance is changing. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 143-151 |
| Index terms: | OPTIONS SHARE PRICES |
| Language: | eng |
| Abstract: | Black and Scholes explained the pricing of derivative securities by deriving the price of a call option when the underlying stock satisfies the geometric Brownian motion. However, different researchers have proven that the Brownian assumption is not acceptable. We need a pricing model with changing variance. Section II presents a stochastic variance model, and Section III solves it by a Monte Carlo method. |
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