Option pricing under stochastic environment of volatility and market price of risk

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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...

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Bibliographic Details
Main Authors:	Phewchean, N, Wu, Yong Hong, Lenbury, Y
Format:	Journal Article
Published:	North Atlantic University Union (N A U N) 2013
Subjects:	Black-Scholes model Stochastic volatility Stochastic market price of risk Ornstein-Uhlenbeck process European option pricing model
Online Access:	http://www.naun.org/main/NAUN/ijmmas/k042001-242.pdf http://hdl.handle.net/20.500.11937/12611

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