Option pricing for some stochastic volatility models

To study stochastic volatility in the pricing of options.

Random‐coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option‐pricing formula is viewed as a moment of a truncated normal distribution.

Kurtosis for RCA and for GARCH process is derived. Application of random coefficient GARCH kurtosis in analytical approximation of option pricing is discussed.

Findings are useful in financial modeling.