Seminar series
Date
Mon, 14 Jun 2004
14:15
14:15
Location
DH 3rd floor SR
Speaker
Chris Potter
Organisation
Oxford
Complete stochastic volatility models provide prices and
hedges. There are a number of complete models which jointly model an
underlying and one or more vanilla options written on it (for example
see Lyons, Schonbucher, Babbar and Davis). However, any consistent
model describing the volatility of options requires a complex
dependence of the volatility of the option on its strike. To date we
do not have a clear approach to selecting a model for the volatility
of these options