printable pdf
比利时vs摩洛哥足彩 ,
university of california san diego

****************************

math 288 - probability

knut solna

uc irvine

multiscale stochastic volatility asymptotics

abstract:

we consider the problem of pricing derivative securities in an environment of uncertain and changing market volatility. the popular black-scholes model relates derivative rices to current stock prices through a constant volatility parameter. the natural extension of this approach is to model the volatility as a stochastic process. in a regime with a multiscale or bursty stochastic volatility we derive an generalized pricing theory that incorporates the main effects of a stochastic volatility. we consider high frequency s&p 500 historical pricing data and analyze these with a view toward identifying important time scales and systematic features. the data shows a periodic behavior that depends on both maturity dates and also the trading hour. we examine the implications of this for modeling and option pricing.

host: ruth williams

february 27, 2003

9:00 am

ap&m 6438

****************************