A review of volatility and option pricing

Sovan Mitra

International Journal of Financial Markets and Derivatives, 2011, vol. 2, issue 3, 149-179

Abstract: The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less commonly known models e.g., hybrid models. We explain various volatility types (e.g., realised and implied volatility) and discuss the empirical properties.

Keywords: option pricing; volatility models; risk neutral valuation; empirical volatility; modelling. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:2:y:2011:i:3:p:149-179

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