Analytically Tractable Stochastic Stock Price Models

Analytically Tractable Stochastic Stock Price Models

Gulisashvili, 2012

Overview

This volume centers on the asymptotic analysis of stochastic stock price models. It explores stochastic volatility models, developed to address limitations in the Black-Scholes model. In these models, volatility follows a stochastic process, with examples like the Hull-White, Stein-Stein, and Heston models illustrating different process types. The author provides precise asymptotic formulas with error estimates for distribution densities, option pricing functions, and implied volatilities across various stochastic volatility models. Additionally, sharp asymptotic formulas are established for implied volatility at extreme strikes in general stochastic stock price models.

Who it's for

• Researchers in financial mathematics.
• Graduate students in analysis or probability theory.
• Professionals seeking advanced quantitative finance tools.

Key features

• Binding: Hardcover
• Publisher: Springer
• Year: 2012
• Pages: 363
• ISBN: 9783642312137
• Language: English