STOCHASTIC VOLATILITY

DOI10.1142/S021902490200150XzbMath1107.91344OpenAlexW4244978612MaRDI QIDQ3022059

Sotirios Sabanis

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490200150x

zbMATH Keywords

stochastic volatilitystochastic calculuschange of measureHull and White model

Mathematics Subject Classification ID

Related Items (2)

A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ An option pricing formula for the GARCH diffusion model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• 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

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