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Stochastic volatility models.

Zhang, Ming.

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Stochastic volatility models.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic volatility models./
Author:	Zhang, Ming.
Description:	63 p.
Notes:	Adviser: Yaozhong Hu.
Contained By:	Masters Abstracts International45-05.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1443683

Stochastic volatility models.
Zhang, Ming.

Stochastic volatility models. - 63 p.

Adviser: Yaozhong Hu.

Thesis (M.A.)--University of Kansas, 2007.

Black-Scholes model is easily used to compute the option price by using the no-arbitrage argument or risk-neutral method. But constant volatility can not explain the volatility smile. So, stochastic volatility models are developed to model volatility smile or skew. In order to obtain the option pricing formula from the S-V model, we have to introduce the benchmark to make markets complete. Then option pricing formula can be given by applying the same argument. Specifically, Heston's model can have a closed-form solution under the boundary conditions. We use Heston's model to show that the correlation rho and volatility of volatility sigma will definitely affect the skewness in the distribution of spot return and thus affect the pricing of options.Subjects--Topical Terms:

515831
Mathematics.

Stochastic volatility models.
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008 110519s2007 eng d
035 $a (UMI)AAI1443683
035 $a AAI1443683
040 $a UMI $c UMI
100 1 $a Zhang, Ming. $3 1023468
245 1 0 $a Stochastic volatility models.
300 $a 63 p.
500 $a Adviser: Yaozhong Hu.
500 $a Source: Masters Abstracts International, Volume: 45-05, page: 2508.
502 $a Thesis (M.A.)--University of Kansas, 2007.
520 $a Black-Scholes model is easily used to compute the option price by using the no-arbitrage argument or risk-neutral method. But constant volatility can not explain the volatility smile. So, stochastic volatility models are developed to model volatility smile or skew. In order to obtain the option pricing formula from the S-V model, we have to introduce the benchmark to make markets complete. Then option pricing formula can be given by applying the same argument. Specifically, Heston's model can have a closed-form solution under the boundary conditions. We use Heston's model to show that the correlation rho and volatility of volatility sigma will definitely affect the skewness in the distribution of spot return and thus affect the pricing of options.
590 $a School code: 0099.
650 4 $a Mathematics. $3 515831
690 $a 0405
710 2 $a University of Kansas. $b Mathematics. $3 1266670
773 0 $t Masters Abstracts International $g 45-05.
790 $a 0099
790 1 0 $a Hu, Yaozhong, $e advisor
791 $a M.A.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1443683