Stochastic Volatility Models
Published Online: 15 MAY 2010
Copyright © 2010 John Wiley & Sons, Ltd. All rights reserved.
Encyclopedia of Quantitative Finance
How to Cite
Fouque, J.-P. 2010. Stochastic Volatility Models. Encyclopedia of Quantitative Finance. .
- Published Online: 15 MAY 2010
Models of stochastic volatility are presented and risk-neutral pricing is introduced. Positive aspects and difficulties of stochastic volatility modeling are summarized.
- stochastic volatility;
- option pricing;
- equivalent martingale measures;
- risk-neutral probability