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Option Pricing when the Variance Is Changing

Published online by Cambridge University Press:  06 April 2009

Herb Johnson  and
David Shanno
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Abstract

The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 2 , June 1987 , pp. 143 - 151
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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