Option Valuation Under Stochastic Volatility: With Mathematica Code, Volume 1

Front Cover
Finance Press, 2000 - Business & Economics - 350 pages

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

The Fundamental Transform
34
The Volatility of Volatility Series Expansion
76
Mixing Solutions and Applications
96
The Smile
120
The Term Structure of Implied Volatility
176
Utilitybased Equilibrium Models
220
Duality and Changes of Numeraire
248
Volatility Explosions and
260
Option Prices at Large Volatility
314
Solutions to Models
330
References
339
Index
345
Copyright

Bibliographic information