On changes of measure in stochastic volatility models

DOI10.1155/JAMSA/2006/18130zbMath1147.60321MaRDI QIDQ937484

Bernard Wong, Christopher C. Heyde

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54625

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items

European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty, On the Valuation of Discrete Asian Options in High Volatility Environments, Trade duration risk in subdiffusive financial models, An explicitly solvable Heston model with stochastic interest rate, ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL, Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas, An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility, A subdiffusive stochastic volatility jump model, Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA, Stochastic volatility and stochastic leverage, Existence of optimal consumption strategies in markets with longevity risk, Asian and Australian options: a common perspective, Portfolio optimization under convex incentive schemes, Change of drift in one-dimensional diffusions, On optimal arbitrage, Sensitivity analysis of long-term cash flows, Optimal sharing rule for a household with a portfolio management problem, A unified approach to pricing and risk management of equity and credit risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on the existence of unique equivalent martingale measures in a Markovian setting
• A general version of the fundamental theorem of asset pricing
• A hyperbolic diffusion model for stock prices
• The existence of absolutely continuous local martingale measures
• Local martingales, bubbles and option prices
• Two singular diffusion problems
• Martingales versus PDEs in finance: an equivalence result with examples
• Generalized Hyperbolic Diffusion Processes with Applications in Finance
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• A Theory of the Term Structure of Interest Rates
• A decomposition of Bessel Bridges
• Option Pricing Under Incompleteness and Stochastic Volatility
• Complications with stochastic volatility models
• On the martingale property of stochastic exponentials
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Class 𝐷 supermartingales
• 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
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS