MODELS WITH UNCERTAIN VOLATILITY

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 8 in Pricing Derivative Securities, 2000, pp 377-409 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Empirical MotivationBrownian Motion Does Not Fit Underlying PricesBlack-Scholes No Longer Fits Option PricesPrice-Dependent VolatilityQualitative Features of Derivatives PricesTwo Specific ModelsNumerical MethodsLimitations of Price-Dependent VolatilityIncorporating Dependence on Past PricesStochastic-Volatility ModelsNonuniqueness of Arbitrage-Free PricesSpecific Models

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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