A class of stochastic volatility models and theq-optimal martingale measure

DOI10.1080/14697688.2011.568950zbMath1279.91166arXiv0808.3751OpenAlexW1984730253MaRDI QIDQ2873538

Sotirios Sabanis

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.3751

zbMATH Keywords

correlationmartingalesstochastic volatilityoption pricingcontinuous-time modelsderivative pricing models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Weighted norm inequalities and hedging in incomplete markets
• A general version of the fundamental theorem of asset pricing
• On the minimal entropy martingale measure.
• The variance-optimal martingale measure for continuous processes
• Stochastic partial differential equations with unbounded coefficients and applications i
• Complete Models with Stochastic Volatility
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

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