Option Prices, Implied Price Processes, And Stochastic Volatility  

Oleh:

Neuberger, Anthony ; Jones, Mark Britten

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 2 (2000), page 839-866.
Topik: prices; options markets; stock options; prices; volatility; mathematical models; studies
Fulltext: p 839.pdf (142.97KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper characterizes all continuous price processes that are consistent with current option prices. This extends derman and kani (1994), dupire (1994, 1997), and rubinstrein (1994), who only consider processes with deterministic volatility. Our characterization implies a volatility forecast that does not require a specific model, only current option prices. We show how arbitrary volatility processes can be adjusted to fit current option prices exactly, just as interest rate processes can be adjusted to fit bond prices exactly. The procedure works with many volatility models, is fast to calibrate, and can price exotic options efficiently using familiar lattice techniques.

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