Chapter 8: Popular Quant Books 331
Option Valuation under Stochastic
Volatility by Alan Lewis
‘‘This exciting book is the first one to focus on the pervasive
role of stochastic volatility in option pricing. Since options
exist primarily as the fundamental mechanism for trading
volatility, students of the fine art of option pricing are advised
to pounce.’’ Peter Carr
PublisherFinance Press
Publication date 2000
FormatPaperback
ISBN 0967637201
This book provides an advanced treatment of option pric-
ing for traders, money managers, and researchers. Providing
largely original research not available elsewhere, it covers the
new generation of option models where both the stock price
and its volatility follow diffusion processes.
These new models help explain important features of real-
world option pricing that are not captured by the Black–
Scholes model. These features include the ‘smile’ pattern and
the term structure of implied volatility. The book includes
Mathematica code for the most important formulæ and many
illustrations.
