Stock Price Distributions with Stochastic Volatility: An Analytic Approach
We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein-Uhlenbeck (or AR1) proc...
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| Published in | The Review of financial studies Vol. 4; no. 4; pp. 727 - 752 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York, NY
Oxford University Press
01.01.1991
Published by Oxford University Press for the Society for Financial Studies Oxford Publishing Limited (England) |
| Subjects | |
| Online Access | Get full text |
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| Abstract | We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein-Uhlenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of "fat tails" in stock price distributions. |
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| AbstractList | We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closedform solution for the case where volatility is driven by an arithmetic Ornstein Ublenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of "fat tails" in stock price distributions. We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein-Uhlenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (i) options pricing in a world of stochastic volatility, and (ii) the relationship between stochastic volatility and the nature of "fat tails" in stock price distributions. |
| Author | Stein, Jeremy C. Stein, Elias M. |
| Author_xml | – sequence: 1 givenname: Elias M. surname: Stein fullname: Stein, Elias M. – sequence: 2 givenname: Jeremy C. surname: Stein fullname: Stein, Jeremy C. |
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| References_xml | – volume: 76 start-page: 1142 year: 1986 ident: 2016020907224372000_4.4.727.23 article-title: The Persistence of Volatility and Stock Market Fluctuations publication-title: American Economic Review contributor: fullname: Poterba – ident: 2016020907224372000_4.4.727.18 doi: 10.2307/2372314 – ident: 2016020907224372000_4.4.727.9 – ident: 2016020907224372000_4.4.727.12 doi: 10.2307/1913242 – ident: 2016020907224372000_4.4.727.2 doi: 10.1086/295634 – ident: 2016020907224372000_4.4.727.26 doi: 10.2307/2328636 – ident: 2016020907224372000_4.4.727.21 doi: 10.1086/294632 – ident: 2016020907224372000_4.4.727.14 doi: 10.1086/294633 – ident: 2016020907224372000_4.4.727.7 doi: 10.1016/0304-405X(76)90023-4 – ident: 2016020907224372000_4.4.727.17 doi: 10.1016/0304-405X(87)90026-2 – ident: 2016020907224372000_4.4.727.22 doi: 10.1016/0304-405X(89)90078-0 – ident: 2016020907224372000_4.4.727.20 doi: 10.2307/2330709 – ident: 2016020907224372000_4.4.727.15 doi: 10.1086/294743 – ident: 2016020907224372000_4.4.727.16 doi: 10.1515/9781400881598 – ident: 2016020907224372000_4.4.727.1 doi: 10.1086/260062 – ident: 2016020907224372000_4.4.727.6 doi: 10.2307/1913889 – ident: 2016020907224372000_4.4.727.13 doi: 10.21236/AD0055660 – ident: 2016020907224372000_4.4.727.10 doi: 10.2307/1912773 – ident: 2016020907224372000_4.4.727.29 doi: 10.1016/0304-405X(87)90009-2 – volume: 34 start-page: 195 year: 1944 ident: 2016020907224372000_4.4.727.5 article-title: The Wiener Measure of Hilbert Neighborhoods in the Space of Real Continuous Functions. publication-title: Journal of Mathematical Physics doi: 10.1002/sapm1944231195 contributor: fullname: Cameron – ident: 2016020907224372000_4.4.727.24 doi: 10.1086/295425 – ident: 2016020907224372000_4.4.727.19 doi: 10.2307/2328253 – ident: 2016020907224372000_4.4.727.3 doi: 10.1016/0304-4076(86)90063-1 – ident: 2016020907224372000_4.4.727.28 – ident: 2016020907224372000_4.4.727.4 doi: 10.1086/296404 – ident: 2016020907224372000_4.4.727.11 doi: 10.1080/07474938608800095 – ident: 2016020907224372000_4.4.727.27 doi: 10.2307/2328621 – ident: 2016020907224372000_4.4.727.8 doi: 10.2307/1911241 – ident: 2016020907224372000_4.4.727.25 doi: 10.1016/0304-3932(87)90059-6 |
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