Stochastic volatility and option pricing

D. Gkamas

Quantitative Finance, 2001, vol. 1, issue 3, 292-297

Abstract: Through a simple Monte Carlo experiment, Dimitrios Gkamas documents the effects that stochastic volatility has on the distribution of returns and the inability of the normal distribution utilized by the Black-Scholes model to fit empirical returns. He goes on to investigate the implied volatility patterns that stochastic volatility models can generate and potentially explain.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1088/1469-7688/1/3/601 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:quantf:v:1:y:2001:i:3:p:292-297

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1088/1469-7688/1/3/601

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().