Chapter2013

Implementing Derivative Models

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25 citations0/0 files storedPalgrave Macmillan UK eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

The Black–Scholes GBM model can be generalized to other models that are more realistic for particular markets. The various simple extensions to the Black–Scholes model assume constant parameters for ease of calculation. In reality the properties of time series such as volatility, mean reversion, long-term levels and jump behavior will at the very least vary through time with reasonably predictable patterns. These characteristics can be included in spot models.

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1994Investment Under Uncertainty.1994Investment under Uncertainty 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 1976The pricing of commodity contracts 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1979The valuation of compound options

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2013Multiscale Stochastic Volatility with the Hull–White Rate of Interest

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