haku: @journal_id 62 / yhteensä: 680
viite: 248 / 680
Tekijä: | Johnson, H. Shanno, D. |
Otsikko: | Option pricing when the variance is changing. |
Lehti: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 143-151 |
Asiasana: | OPTIONS SHARE PRICES |
Kieli: | eng |
Tiivistelmä: | 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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