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Analytically Tractable Stochastic Stock Price Models (Paperback, 2012 ed.)
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Analytically Tractable Stochastic Stock Price Models (Paperback, 2012 ed.)
Series: Springer Finance
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Total price: R1,744
Discovery Miles: 17 440
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Asymptotic analysis of stochastic stock price models is the central
topic of the present volume. Special examples of such models are
stochastic volatility models, that have been developed as an answer
to certain imperfections in a celebrated Black-Scholes model of
option pricing. In a stock price model with stochastic volatility,
the random behavior of the volatility is described by a stochastic
process. For instance, in the Hull-White model the volatility
process is a geometric Brownian motion, the Stein-Stein model uses
an Ornstein-Uhlenbeck process as the stochastic volatility, and in
the Heston model a Cox-Ingersoll-Ross process governs the behavior
of the volatility. One of the author's main goals is to provide
sharp asymptotic formulas with error estimates for distribution
densities of stock prices, option pricing functions, and implied
volatilities in various stochastic volatility models. The author
also establishes sharp asymptotic formulas for the implied
volatility at extreme strikes in general stochastic stock price
models. The present volume is addressed to researchers and graduate
students working in the area of financial mathematics, analysis, or
probability theory. The reader is expected to be familiar with
elements of classical analysis, stochastic analysis and probability
theory.
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