Option pricing with stochastic volatility Precificação de opções com volatilidade estocástica

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dc.contributor.authorMartin D.M.L.
dc.date.accessioned2024-03-13T01:44:40Z
dc.date.available2024-03-13T01:44:40Z
dc.date.issued2004
dc.description.abstractAmong the underlying assumptions of the Black-Scholes option pricing model, the largest empirical biases are caused by those with a fixed volatility of the underlying asset. This article discusses the main approaches of this issue.
dc.description.firstpage34
dc.description.issuenumber14
dc.description.lastpage41
dc.description.volume6
dc.identifier.issn1806-4892
dc.identifier.urihttps://dspace.mackenzie.br/handle/10899/37910
dc.relation.ispartofRevista Brasileira de Gestao de Negocios
dc.rightsAcesso Restrito
dc.subject.otherlanguageArch process
dc.subject.otherlanguageBlack-scholes-merton model
dc.subject.otherlanguageCall pricing
dc.subject.otherlanguageGeneral equilibrium
dc.subject.otherlanguageOption pricing
dc.subject.otherlanguageStochastic process
dc.subject.otherlanguageStochastic volatility
dc.titleOption pricing with stochastic volatility Precificação de opções com volatilidade estocástica
dc.typeArtigo
local.scopus.citations0
local.scopus.eid2-s2.0-77950418239
local.scopus.updated2024-05-01
local.scopus.urlhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=77950418239&origin=inward
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