Author : Dimitris Psychoyios
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Book Synopsis A Review of Stochastic Volatility Processes by : Dimitris Psychoyios
Download or read book A Review of Stochastic Volatility Processes written by Dimitris Psychoyios and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility changes stochastically over time. This has implications for option pricing and risk management and it has motivated the development of stochastic volatility option pricing models. The fundamental building block of these models is the stochastic process that is used to model the evolution of volatility over time. In this paper, first we outline some stylized facts that any volatility process should obey. Next, we review concisely the processes that have been commonly used to model the dynamics of the instantaneous volatility. The mathematical properties are clarified, and their implications are discussed. This is of particular importance to practitioners who need to decide on which process to use.