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- Title
Option pricing under hybrid stochastic and local volatility.
- Authors
CHOI, SUN-YONG; FOUQUE, JEAN-PIERRE; KIM, JEONG-HOON
- Abstract
The article discusses the developments in the global financial market. It focuses on the option pricing under hybrid stochastic and local volatility of equity options. It cites the constant elasticity of variance (CEV) diffusion model as one of the methods to make the volatility depends on the underlying asset price and time. The works of J. Cox and S. Ross on the model are also cited.
- Subjects
FINANCIAL markets; PRICING; STOCHASTIC processes; MARKET volatility; VARIANCES; ASSETS (Accounting)
- Publication
Quantitative Finance, 2013, Vol 13, Issue 8, p1157
- ISSN
1469-7688
- Publication type
Academic Journal
- DOI
10.1080/14697688.2013.780209