Critical Point on Stochastic Volatility Option Pricing

5 Pages Posted: 3 Oct 2017

Date Written: October 1, 2017

Abstract

In this short notice, we present a critical arguments that Black Scholes (BS) option pricing model cannot cover the case of stochastic volatility.

Keywords: Option Pricing, Stochastic Volatility, Square Root Diffusion

JEL Classification: G12, G13

Suggested Citation

Gikhman, Ilya I., Critical Point on Stochastic Volatility Option Pricing (October 1, 2017). Available at SSRN: https://ssrn.com/abstract=3046261 or http://dx.doi.org/10.2139/ssrn.3046261

Ilya I. Gikhman (Contact Author)

Independent ( email )

6077 Ivy Woods Court
Mason, OH 45040
513-573-9348 (Phone)

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