Call Us 080-41656200 (Mon-Sat: 10AM-8PM)
Free Shipping above Rs. 1499
Cash On Delivery*

Option Pricing with Long Memory Stochastic Volatility Models

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 

Check Your Delivery Options

 
Rs. 5,066

Availability: In stock

 
  • Product Description
 

It is now known that long memory stochastic volatility models can capture the well-documented evidence of volatility persistence. However, due to the complex structures of the long memory processes, the analytical formulas for option prices are not available yet. In this book, we propose two fractional continuous time stochastic volatility models which are built on the popular short memory stochastic volatility models. Using the tools from stochastic calculus, fractional calculus and Fourier transform, we derive the (approximate) analytical solutions for option prices. We also numerically study the effects of long memory on option prices. We show that the fractional integration parameter has the opposite effect to that of volatility of volatility parameter. We also find that long memory models can accommodate the short term options and the decay of volatility skew better than the corresponding short memory models. These findings would appeal to the researchers and practitioners in the areas of quantitative finance.

Product Specifications
SKU :COC67979
AuthorZhigang Tong
LanguageEnglish
BindingPaperback
Number of Pages184
Publishing Year2013-02-21T00:00:00.000
ISBN9783659346279
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00