Option Valuation under Stochastic Volatility : with Mathematica Code
Автор:Alan L.Lewis Год: [не указано] Издание:
[не указанo] Страниц: [не указано] ISBN: 0967637201 This book provides an advanced treatment of option pricing for traders, money managers, and researchers. Providing largely original research not available elsewhere, it covers the latest generation of option models where both the stock price and its volatility follow diffusion processes. These new models help explain important features of real-world option pricing, including the "volatility smile" pattern. The book includes Mathematica code and 37 illustrations.