Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale

Option Valuation under Stochastic Volatility

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.option pricing, stochastic volatility, equilibrium, smile, term structure, implied volatility, eigenvalue, variational, Mathematica, GARCH diffusion, local martingale