scholarly journals An Empirical Analysis of Stochastic Volatility Model Based on SSE 50 ETF Option

2021 ◽  
Vol 1852 (4) ◽  
pp. 042026
Author(s):  
Siyan Ai
Keyword(s):  
Stochastic Volatility ◽  
Empirical Analysis ◽  
Stochastic Volatility Model ◽  
Model Based ◽  
Volatility Model

scholarly journals Pricing Parisian Option under a Stochastic Volatility Model

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Min-Ku Lee ◽  
Kyu-Hwan Jang
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Barrier Options ◽  
Barrier Option ◽  
Partial Differential ◽  
Model Based ◽  
Volatility Model ◽  
Black Scholes

We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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