haku: @author Jarrow, R. / yhteensä: 10
viite: 7 / 10
| Tekijä: | Eisenberg, L Jarrow, R. |
| Otsikko: | Option pricing with random volatilities in complete markets |
| Lehti: | Review of Quantitative Finance and Accounting
1994 : MAR, VOL. 4:1, p. 5-17 |
| Asiasana: | OPTION PRICES CALL OPTIONS EUROPE |
| Kieli: | eng |
| Tiivistelmä: | The article presents the theory of option pricing with random volatilities in complete markets. As such, it makes two contributions. First, the newly developed martingale measure technique is used to synthesize results dating from Merton (1973) through Eisenberg (1985, 1987). Second, the authors derive a new formula, which is easy to interpret and easy program for pricing options given a random volatility. This formula is seen to be a weighted average of Black-Scholes values. |
SCIMA