Speaker: Michael Sullivan.
Title: Pricing Options with Stochastic Volatility Models.
Affiliation: University of Michigan.
Date: Thursday, 6 February 2003.
Place and Time: Room 102 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. The celebrated Black-Scholes formula for pricing stock options assumes that the stock volatility is constant. Much empirical evidence demonstrates such an assumption to be faulty. I will discuss ways in which the Black-Scholes model has been modified to allow the volatility to be stochastic. This includes joint work with J. Conlon which shows how close the Black-Scholes price is to the stochastic volatility price when certain assumptions are made for the volatility process.