Option pricing under stochastic environment of volatility and market price of risk
Since Black-Scholes model was proposed in 1973, it has been applied widely for option pricing. The aim of this paper is to develop European option pricing model taking into account stochastic volatility and stochastic market price of risk (MPR) under the framework of Black-Scholes. Both volatility a...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
North Atlantic University Union (N A U N)
2013
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| Subjects: | |
| Online Access: | http://www.naun.org/main/NAUN/ijmmas/k042001-242.pdf http://hdl.handle.net/20.500.11937/12611 |