@inbook{906c01fc010f4a0f804a971f9151f6ff,
title = "Stochastic Volatility",
abstract = "Empirical studies show that the volatility of asset returns are not constant and the returns are more peaked around the mean and have fatter tails than implied by the normal distribution. These empirical observations have led to models in which the volatility of returns follows a diffusion process. In this chapter, we introduce some stochastic volatility models and consider option prices under stochastic volatility. In particular, we consider the solutions of the option pricing when volatility follows a mean-reverting diffusion process. We also introduce the Heston model, one of the most popular stochastic volatility models.",
keywords = "Asset Price, Implied Volatility, Option Price, Stochastic Volatility, Stochastic Volatility Model",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_15",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "315--347",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}