Option Valuation under Stochastic Volatility

Abstract

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