A Review of Volatility and Option Pricing

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dc.creatorMitra, Sovan
dc.date2009-04-08
dc.date.accessioned2026-07-07T13:01:41Z
dc.date.available2026-07-07T13:01:41Z
dc.descriptionThe 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.
dc.identifierhttps://arxiv.org/abs/0904.1292
dc.identifierhttp://arxiv.org/abs/0904.1292
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/226231
dc.subjectPricing of Securities
dc.titleA Review of Volatility and Option Pricing
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