Modeling Stochastic Volatility

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 12 in A Benchmark Approach to Quantitative Finance, 2006, pp 439-481 from Springer

Abstract: Abstract This chapter introduces into the pricing and hedging of derivatives under stochastic volatility. The emphasis is on standard derivatives for various index models. We choose as underlying security a diversified index, which we interpret as GOP.

Date: 2006
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DOI: 10.1007/978-3-540-47856-0_12

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