A Review of Volatility and Option Pricing

Sovan Mitra

Papers from arXiv.org

Abstract: The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less commonly known models e.g. hybrid models. We explain various volatility types (e.g. realised and implied volatility) and discuss the empirical properties.

Date: 2009-04
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0904.1292

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