The Pricing of Options on Assets with Stochastic Volatilities
解决了资产价格具有随机波动率时欧式看涨期权的定价问题，给出了波动率独立于股价时的级数解和波动率与股价相关时的数值解，发现Black-Scholes价格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.