Asset pricing under information with stochastic volatility

DOI10.1007/s11147-009-9031-8zbMath1175.91072OpenAlexW2001869619MaRDI QIDQ1039656

Bertram Düring

Publication date: 23 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116757

Mathematics Subject Classification ID

Related Items (7)

On the Stability of a Compact Finite Difference Scheme for Option Pricing ⋮ High-order ADI scheme for option pricing in stochastic volatility models ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility models ⋮ Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models ⋮ On Prediction and Control of Discrete-Time First-Order Linear Stochastic Systems with Prospective Strong Intervention ⋮ On Constrained MMVC of Discrete-Time First-Order Linear Stochastic Systems with PSI I: The Critically Stable Case ⋮ High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

Cites Work

• The Pricing of Options and Corporate Liabilities
• Heterogeneity and option pricing
• Option prices under generalized pricing kernels
• Nonparametric risk management and implied risk aversion
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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