Browsing by Subject "Stochastic volatility"
Now showing items 1-2 of 2
-
Extended stochastic volatility models incorporating realised measures
(Elsevier, 2014)Extended stochastic volatility models are studied which use the daily returns as well as the volatility information in intraday price data summarised in terms of a number of realised measures. These extended models treat ... -
Numerical methods for pricing American put options under stochastic volatility
(North-West University, 2013)The Black-Scholes model and its assumptions has endured its fair share of criticism. One problematic issue is the model’s assumption that market volatility is constant. The past decade has seen numerous publications ...