Partial derivative approach for option pricing in a simple stochastic volatility model

Miquel Montero ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2004, vol. 42, issue 1, 141-153

Abstract: We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model has already been introduced in the literature. We present a new approach to the problem, based on partial differential equations, which gives a different perspective to the issue. Within our framework we can easily consider several forms for the market price of volatility risk, and interpret their financial meaning. We thus recover solutions previously mentioned in the literature as well as obtaining new ones. Copyright Springer-Verlag Berlin/Heidelberg 2004

Date: 2004
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1140/epjb/e2004-00366-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:42:y:2004:i:1:p:141-153

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2004-00366-7

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().