The Pricing of Options on Assets with Stochastic Volatilities
解决了欧式看涨期权在资产波动率随机情况下的定价问题，给出了波动率与股价独立时的级数解和相关时的数值解，发现Black-Scholes模型常高估期权且高估程度随到期时间增加。
ABSTRACT One option‐pricing problem that has hitherto been unsolved is the pricing of a European call on an asset that has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black‐Scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity.