Template-Type:ReDIF-Paper 1.0  
Title:Stock Evolution under Stochastic Volatility: A Discrete Approach
Author-Name: Leisen, Dietmar P.J.
Classification-JEL: G13
Keywords:  binomial model, option valuation, lattice approach, stochastic volatility
Abstract: This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in
	which volatility follows a separate diffusion process. It gereralizes the well-known binomial model, constructing
	a discrete two-dimensional lattice. We discuss convergence issues extensively and calculate prices and implied
	volatilities for European- and American-style put options.
Length: 16 pages
Creation-Date: 
Revision-Date: 1999-05
Handle: RePEc:bon:bonsfb:407
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb407.pdf
File-Format: application/pdf
File-Size:  197306 bytes
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb407.ps
File-Format: application/postscript
File-Size:  129614 bytes