Local volatility function models under a benchmark approach
From MaRDI portal
Publication:5484644
DOI10.1080/14697680600699787zbMath1136.91439OpenAlexW2021163852MaRDI QIDQ5484644
Eckhard Platen, David C. Heath
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600699787
growth optimal portfoliobenchmark approachfair pricingminimal market modellocal volatility functiondupire formulaindex derivativesmodified cev model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Recovering the real-world density and liquidity premia from option data ⋮ Understanding the implied volatility surface for options on a diversified index ⋮ A closed-form solution to American options under general diffusion processes
Cites Work
- The Pricing of Options and Corporate Liabilities
- A note on option pricing for the constant elasticity of variance model
- Local martingales, arbitrage, and viability. Free snacks and cheap thrills
- Diversity and relative arbitrage in equity markets
- Local martingales, bubbles and option prices
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Complications with stochastic volatility models
- Volatility skews and extensions of the Libor market model
- Arbitrage in continuous complete markets
- A class of complete benchmark models with intensity-based jumps
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
This page was built for publication: Local volatility function models under a benchmark approach
