Stochastic Volatility III : Volatility Models and Volatility Surfaces

We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem

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Year of publication:	2010
Authors:	Vanini, Paolo
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| ARCH-Modell \| ARCH model

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Extent:	1 Online-Ressource (31 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2, 2010 erstellt
Other identifiers:	10.2139/ssrn.1619283 [DOI]
Classification:	A2 - Economics Education and Teaching of Economics ; C6 - Mathematical Methods and Programming ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013142702