TITLE:
Option Pricing with Stochastic Volatility
AUTHORS:
Rossano Giandomenico
KEYWORDS:
Contingent Claim, Stochastic Volatility, Ito’s Lemma, Cauchy problem, Bivariate
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.3 No.12,
December
25,
2015
ABSTRACT: The study analyses some problems arising in stochastic volatility models by using Ito’s lemma and its applications to boundary Cauchy problem by giving the solution of vanilla option pricing models satisfying the partial differential equation obtained by assuming stochastic volatility in replication problems and risk neutral probability.