Black-Scholes Formula by Change of Time Method

Anatoliy Swishchuk
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Anatoliy Swishchuk: University of Calgary, Canada

Chapter 5 in Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities, 2013, pp 39-43 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionBlack-Scholes Formula by Change of Time MethodBlack-Scholes FormulaSolution of SDE for Geometric Brownian Motion using Change of Time MethodProperties of the Process $\tilde W(\varphi _t^{ - 1} )$Black-Scholes Formula by Change of Time MethodSummaryBibliography

Keywords: Stochastic Volatilities; Variance; Volatility; Covariance; Correlation Swaps; Change of Time; Option Pricing; Stochastic Volatilities with Delay; Multi-Factor Stochastic Volatilities Models; Regime-Switching Stochastic Volatilities; Levy-Based Stochastic Volatilities with Delay; COGARCH Stochastic Volatility; Stochastic Volatility Driven by Fractional Brownian Motion; Delayed Heston Model; Semi-Markov Stochastic Volatilities; Energy Markets; Forward and Futures in Energy Markets (search for similar items in EconPapers)
Date: 2013
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