Option pricing for some stochastic volatility models

被引：7
作者：
Thavaneswaran, A. [1 ]
Singh, J. [2 ]
Appadoo, S. S. [3 ]
机构：
[1] Univ Manitoba, Winnipeg, MB, Canada
[2] Temple Univ, Fox Sch Business & Management, Dept Stat, Philadelphia, PA USA
[3] Univ Manitoba, Dept Supply Chain Management, Winnipeg, MB, Canada
来源：
JOURNAL OF RISK FINANCE | 2006年 / 7卷 / 04期
关键词：
Stochastic modelling; Kurtosis; Pricing;
D O I：
10.1108/15265940610688982
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Purpose - To study stochastic volatility in the pricing of options. Design/methodology/approach - Random-coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option-pricing formula is viewed as a moment of a truncated normal distribution. Findings - Kurtosis for RCA and for GARCH process is derived. Application of random coefficient GARCH kurtosis in analytical approximation of option pricing is discussed. Originality/value - Findings are useful in financial modeling.
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页码：425 / 445
页数：21
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