EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1

DOI10.1111/j.1467-9965.1996.tb00078.xzbMath0915.90027OpenAlexW2025180282MaRDI QIDQ4226863

Nizar Touzi, Huyên Pham

Publication date: 5 July 1999

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00078.x

zbMATH Keywords

consistencyincomplete marketmartingale approachstochastic volatility model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ Conservative delta hedging. ⋮ American options with stochastic dividends and volatility: a nonparametric investigation ⋮ Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems ⋮ STOCHASTIC VOLATILITY ⋮ Risk premium and fair option prices under stochastic volatility: the HARA solution. ⋮ Asset pricing under information with stochastic volatility

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