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: 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
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