Stochastic Volatility: Modeling and Asymptotic Approaches to Option Pricing & Portfolio Selection
نویسندگان
چکیده
Empirical evidence from equity markets clearly shows that the volatility of asset returns varies randomly in time. Typically, this randomness is referred to as stochastic volatility. In this article, we review how stochastic volatility can be modeled, and the use of asymptotic analysis to quantify (i) how the presence of stochastic volatility affects option prices, and (ii) how stochastic volatility affects investment strategies.
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