Option Valuation under Stochastic Volatility （选择随机波动率下的估值）.pdfVIP

Option Valuation under Stochastic Volatility With Mathematica Code Copyright µ 2000 by Alan L. Lewis All rights reserved. Except for the quotation of short passages for the purposes of criticism and review, no part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without the prior permission of the publisher. Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or the consequences of their use. All information, including formulas, documentation, computer algorithms, and computer code are provided with no warranty of any kind, express or implied. Neither the author nor the publisher accept any responsibility or liability for the consequences of using them, and do not claim that they serve any particular purpose or are free from errors. Published by: Finance Press, Newport Beach, California, USA Cover design by: Brian Burton Design For the latest available updates and corrections to this book and publisher contact information, visit the Internet sites: http:// or /financepress Trademark notice: Mathematica is a trademark of Wolfram Research, Inc., which is not associated with the author or publisher of this book. International Standard Book Number 0-9676372-0-1 Library of Congress Card Number: 99-91935 Printed in the United States of America Printed on acid-free paper 2 Option Valuation Under Stochastic Volatility 1 Introduction and Summary of Results Suppose we use the standard deviation ... of possible future returns on a stock ... as a measure of its volatility. Is it reasonable to take that volatility as constant over time? I think not