EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION

DOI10.1111/j.1467-9965.2006.00302.xzbMath1186.91218OpenAlexW2042824863MaRDI QIDQ5422631

Yoosef Maghsoodi

Publication date: 29 October 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00302.x

zbMATH Keywords

exact solutionstochastic volatilityimplied volatilitymeasure changefutures and option pricingLaplace-Girsanov transform

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ Pricing options under stochastic volatility: a power series approach ⋮ Exchange option pricing under stochastic volatility: a correlation expansion ⋮ RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL

Cites Work

• Unnamed Item
• Review Paper. A survey of mathematical finance
• On some exponential functionals of Brownian motion
• Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique

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