Asymmetry in the stochastic volatility models

Bogdan Negrea and Elena Bojesteanu
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Elena Bojesteanu: Academy of Economic Studies, Bucharest

Theoretical and Applied Economics, 2008, vol. 11(528)(supplement), issue 11(528)(supplement), 180-185

Abstract: This article proposes a different point of view on the pricing in the stochastic volatility models when the underlying price is uncorrelated with its volatility. Heston (1993) established a closed-form formula of the European option price. This paper proposes a new closed-form formula of the option price when the price is uncorrelated with its volatility.

Keywords: stochastic models; stochastic volatility; option pricing; Fourier transform; closed-form formula. (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:180-185

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