Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model

Simple item page
dc.creatorMontero, Miquel
dc.date2003-07-31
dc.date.accessioned2026-07-07T12:06:47Z
dc.date.available2026-07-07T12:06:47Z
dc.descriptionWe study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial derivative equations, which gives a different perspective to the problem. Within our framework we can easily consider several prescriptions for the market price of volatility risk, and interpret their financial meaning. Thus, we recover solutions previously cited in the literature as well as obtain new ones.
dc.description21 pages, 3 figures, submitted for publication
dc.identifierhttps://arxiv.org/abs/cond-mat/0307759
dc.identifierhttp://arxiv.org/abs/cond-mat/0307759
dc.identifierEur. Phys. J. B 42, 141--153 (2004)
dc.identifierdoi:10.1140/epjb/e2004-00366-7
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208760
dc.subjectStatistical Mechanics
dc.subjectPricing of Securities
dc.titlePartial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
dc.typetext

Files

Collections

arXiv