Influence of stochastic volatility for option pricing

Akvilina Valaitytė; Eimutis Valakevičius

doi:10.15388/LMR.2004.32204

Articles

Akvilina Valaitytė

Kaunas University of Technology

Eimutis Valakevičius

Kaunas University of Technology

Published 2004-12-17

https://doi.org/10.15388/LMR.2004.32204

PDF

Keywords

asset price dynamics
stochastic volatility model
pricing options

How to Cite

Valaitytė, A. and Valakevičius, E. (2004) “Influence of stochastic volatility for option pricing”, Lietuvos matematikos rinkinys, 44(spec.), pp. 612–619. doi:10.15388/LMR.2004.32204.

Download Citation

Abstract

The article analyzes three models of stochastic volatility. Investigation of influence of stochastic volatility for pricing options traded in the Vilnius bank is done.

PDF

This work is licensed under a Creative Commons Attribution 4.0 International License.

Downloads

Download data is not yet available.

Most read articles by the same author(s)

Mantas Landauskas, Eimutis Valakevičius, Analysis of pricing models for options , Lietuvos matematikos rinkinys: Vol. 50 (2009)
Mantas Landauskas, Eimutis Valakevičius, MCMC approach to modelling queuing systems , Lietuvos matematikos rinkinys: Vol. 51 (2010)
Mindaugas Šnipas , Eimutis Valakevičius, Application of mixture of exponentials distributions for modeling queuing systems , Lietuvos matematikos rinkinys: Vol. 48 (2008)
Mantas Landauskas, Eimutis Valakevičius, MCMC based modelling of queuing systems from empirical data , Lietuvos matematikos rinkinys: Vol. 52 (2011)
Rita Palivonaitė, Eimutis Valakevičius, Investigation of the barrier options pricing models , Lietuvos matematikos rinkinys: Vol. 50 (2009)
Eimutis Valakevičius, Markov model of option pricing , Lietuvos matematikos rinkinys: Vol. 47 (2007)
Eimutis Valakevičius, The numerical model of the dynamics of asset prices , Lietuvos matematikos rinkinys: Vol. 46 (2006)
Eimutis Valakevičius, On numerical modelling of stochastic systems , Lietuvos matematikos rinkinys: 1997: LMD darbai
Eimutis Valakevičius, On teaching mathematical modelling , Lietuvos matematikos rinkinys: Vol. 42 (2002)
Eimutis Valakevičius, Approximation of a positive random variable distribution by the mixture of exponential distsibutions , Lietuvos matematikos rinkinys: No. II (1998)