Please use this identifier to cite or link to this item:
|Title:||Pricing options with stochastic volatility model.||Authors:||Lee, Sor Hong.
Teo, Lay Leng.
Teow, Hwee Ling.
|Keywords:||DRNTU::Business::Finance::Options||Issue Date:||2002||Abstract:||The purpose of this thesis is to review the evidence of non-constant volatility and to consider the implications for option pricing using stochastic volatility model. We concentrate on the Stochastic Volatility Model developed by Steven L. Heston in 1993 as it processes a closed-form formula that is practically implementable.||URI:||http://hdl.handle.net/10356/7724||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||NBS Theses|
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.