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COMPARISON OF STOCHASTIC VOLATILITY MODELS
Kyoung-Sook MOON,Jung-Yon SEON,Choongseok YOON,In-Suk WEE 한국산업응용수학회 2007 한국산업응용수학회 학술대회 논문집 Vol.3 No.2
We present a unified approach of calculating the closed form solutions of stock options under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive systematically the option pricing formulas under Heston and correlated Stein-Stein models. We compare the empirical performances of option prices between the two stochastic volatility models and the Black-Scholes model in KOSPI 200 settings. We also address the calibration problem for the two stochastic volatility models.
Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options
문경숙,Jung-Yon Seon,위인숙,Choongseok Yoon 대한수학회 2009 대한수학회보 Vol.46 No.2
We examine a unified approach of calculating the closed form solutions of option price under stochastic volatility models using stochastic calculus and the Fourier inversion formula. In particular, we review and derive the option pricing formulas under Heston and correlated Stein-Stein models using a systematic and comprehensive approach which were derived individually earlier. We compare the empirical performances of the two stochastic volatility models and the Black-Scholes model in pricing KOSPI 200 index options.