On Stochastic Volatility in the Valuation of European Options
Chuma Raphael Nwozo & Sunday Emmanuel Fadugba · Journal of Advances in Mathematics and Computer Science · 2014
This paper presents stochastic volatility in the valuation of European options. Stochastic volatility models treat the volatility of the underlying asset as a random process rather than the constant volatility assumption of the Black-Scholes model. By changing the model parameter...
Open access
Research Article
10.9734/BJMCS/2015/13176