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Stochastic Volatility Models

  1. Jean-Pierre Fouque

Published Online: 15 MAY 2010

DOI: 10.1002/9780470061602.eqf19006

Encyclopedia of Quantitative Finance

Encyclopedia of Quantitative Finance

How to Cite

Fouque, J.-P. 2010. Stochastic Volatility Models. Encyclopedia of Quantitative Finance. .

Author Information

  1. University of California, Santa Barbara, CA, USA

Publication History

  1. Published Online: 15 MAY 2010

Abstract

Models of stochastic volatility are presented and risk-neutral pricing is introduced. Positive aspects and difficulties of stochastic volatility modeling are summarized.

Keywords:

  • stochastic volatility;
  • option pricing;
  • equivalent martingale measures;
  • risk-neutral probability