caa a22 4500 475754344 CHVBK 20180406123533.0 cr unu---uuuuu 170329e20001101xx s 000 0 eng 10.1007/s102030070001 doi (NATIONALLICENCE)springer-10.1007/s102030070001 Herzel Stefano Department of Economics, University of Perugia¶e-mail: herzel@unipg.it, IT aut Option pricing with stochastic volatility models [Elektronische Daten] [Stefano Herzel] Abstract.: A general class of models for derivative pricing with stochastic volatility is analyzed. We include the possibility of jumps for the paths of the asset's price and for those of its volatility. We also consider the case of correlation between the process of the asset's price and that of its volatility. In this way we are able to give a unifying view on most of the models studied in the literature. We will examine theoretical issues related to the market price of volatility risk, the equivalent martingale measures and the possibility of obtaining a numerically tractable formula for contingent claim pricing. Finally, we propose some methodologies to test the behavior of stochastic volatility models when applied to market data. Springer-Verlag Italia, 2000 Mathematics Subject Classification (2000):91A30, 90B20 nationallicence Journal of Economic Literature Classification:D81, C40 nationallicence https://doi.org/10.1007/s102030070001 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s102030070001 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Herzel Stefano Department of Economics, University of Perugia¶e-mail: herzel@unipg.it, IT aut Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer