期刊名称：Lecture Notes in Engineering and Computer Science
印刷版ISSN：2078-0958
电子版ISSN：2078-0966
出版年度：2019
卷号：2240
页码：228-233
出版社：Newswood and International Association of Engineers
摘要：Based on recent financial crises, it is desirable to
develop a volatility model appropriate for dynamic markets
experiencing sharp crashes. We observe that elasticity of
variance of stock or index is randomly fluctuating around a
mean level and the mean level itself is time varying contrary to
the conventional assumption of constant elasticity of variance.
This paper shows how useful the concept called stochastic
elasticity of variance is to characterize the global financial crisis.
Also, the valuation result for a financial derivative is presented
in terms of implied volatility.
关键词：financial crisis; implied volatility; option
pricing; stochastic elasticity of variance
