Stochastic Volatility Option Pricing
研究了标的资产波动率随机变化时的期权定价方法，比较了两种均值回复随机波动率模型，并分析了Black-Scholes模型因忽略随机波动率而产生的偏差。
This paper examines alternative methods for pricing options when the underlying security volatility is stochastic. We show that when there is no correlation between innovations in security price and volatility, the characteristic function of the average variance of the price process plays a pivotal role. It may be used to simplify Fourier option pricing techniques and to implement simple power series methods. We compare these methods for the alternative mean-reverting stochastic volatility models introduced by Stein and Stein (1991) and Heston (1993). We also examine the biases in the Black-Scholes model that are eliminated by allowing for stochastic volatility, and we correct some errors in the Stein and Stein (1991) analysis of this issue.