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Abstract Details
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Activity Number:
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467
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Statistics in Marketing
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| Abstract - #304447 |
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Title:
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Closed-Form of PDEs with Stochastic Volatility
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Author(s):
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Hui Gong*+ and Aerambamoorthy Thavaneswaran and D. Kalajdzievska
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Companies:
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Valparaiso University and University of Manitoba and University of Manitoba
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Address:
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1904 Chicago St, Valparaiso, IN, 46383, United States
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Keywords:
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Partial Differential Equation ;
Stochastic Volatility Models ;
Characteristic Function
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Abstract:
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Recently there has been a growing interest in using stochastic volatility models in option pricing. In this paper, we present a united theory to obtain closed-form expressions of conditional characteristic functions for option pricing for several stochastic volatility models.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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