PRICING EUROPEAN OPTIONS IN SELECTED STOCHASTIC VOLATILITY MODELS
Arkadiusz Orzechowski • Quantitative Methods in Economics
(2020)
In this paper four methods of calculating characteristic functions and their application to selected stochastic volatility models are considered. The methods applied are based on the assumption that the prices of European calls are evaluate...
DOAJ
Open Access (DOAJ)
DOI:
10.22630/MIBE.2020.21.3.14