학술저널
Pricing Call Options under Stochastic Volatilities
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 15 No.4
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2002.12499 - 528 (29 pages)
- 0
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This paper derives a closed-form solution for the European call option price when the volatility of the underlying stock returns is governed by a diffusion process. The model uses the continuity property of a diffusion process and the martingale approach to valuation of assets under no arbitrage. The pricing formula differs from the Black-Scholes formula in that it needs a volatility adjustment. The volatility movement is allowed to be contemporaneously correlated with the stock price movement.
Abstract
Ⅰ. Introduction
Ⅱ. The Model
Ⅲ. Lognormal Diffusion Volatility
Ⅳ. Conclusion
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