Pricing of index options under a minimal market model with log-normal scaling

DOI10.1088/1469-7688/3/6/303zbMath1405.91621OpenAlexW2125625806MaRDI QIDQ4647289

Eckhard Platen, David C. Heath

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/303

zbMATH Keywords

growth optimal portfolioBlack-Scholes pricesindex options pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Uses Software

• Mathematica

Cites Work

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• Deterministic implied volatility models
• Dynamics of implied volatility surfaces
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A market model for stochastic implied volatility
• Arbitrage in continuous complete markets
• AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
• Interest rate models -- theory and practice
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