A general framework for the derivation of asset price bounds: An application to stochastic volatility option models

DOI10.1007/S11147-009-9032-7zbMath1175.91069OpenAlexW2042364556MaRDI QIDQ1039658

Oleg Bondarenko, Iñaki R. Longarela

Publication date: 23 November 2009

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

Full work available at URL: https://doi.org/10.1007/s11147-009-9032-7

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Hedging under generalized good-deal bounds and model uncertainty ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?

Cites Work

• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Towards a General Theory of Good-Deal Bounds*
• Coherent risk measures and good-deal bounds

This page was built for publication: A general framework for the derivation of asset price bounds: An application to stochastic volatility option models