Pricing options using multifactor stochastic volatility models
Alessio Pieri
Broschiertes Buch

Pricing options using multifactor stochastic volatility models

includes Matlab codes used to develop multifactor stochastic volatility models

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Accurate option pricing has been a main concern for financial quantitative practitioners and academics since the introduction of such instruments. The Black and Scholes option pricing formula is a cornerstone in the derivatives world; nonetheless it is based on a set of unrealistic assumptions and does not explain volatility patterns. Pricing options using multifactor stochastic volatility models illustrates step by step why volatility has to be considered a variable that moves in a random fashion and why multifactor stochastic volatility models have become the most popular among practitioners...