23. Options on Stochastic Volatility Processes

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch23

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Options on Stochastic Volatility Processes, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch23

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • stochastic volatility processes;
  • independent price;
  • volatility shocks;
  • dependent price;
  • price jumps

Summary

This chapter contains sections titled:

  • Independent Price/Volatility Shocks

  • Dependent Price/Volatility Shocks

  • Stochastic Volatility with Jumps in Price

  • Further Advances

  • Exercises

  • Empirical Project 7