Asset pricing under information with stochastic volatility
type: Item
instance of: scholarly article
title: Asset pricing under information with stochastic volatility
zbMATH Open document ID: 1175.91072
author: Bertram Düring
published in: Review of Derivatives Research
publication date: 2009-11-23T00:00:00Z
full work available at URL: urn:nbn:de:bsz:352-opus-116757
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B44
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5636958
MaRDI profile type: Publication
OpenAlex ID: W2001869619
cites work: Nonparametric risk management and implied risk aversion
cites work: Heterogeneity and option pricing
cites work: The pricing of options and corporate liabilities
cites work: Option prices under generalized pricing kernels
cites work: Two-dimensional risk-neutral valuation relationships for the pricing of options
cites work: When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
DOI: 10.1007/S11147-009-9031-8
description: scientific article; zbMATH DE number 5636958