of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of … hedging. It turns out that market volatility increases and becomes price-dependent. The strength of the effects depend not … discuss in what sense hedging strategies calculated under the assumption of constant volatility are still appropriate, even if …

In this survey we discuss models with level-dependent and stochastic volatility from the viewpoint of erivative asset … consider models with level-dependent volatility. Most of this survey is devoted to derivative asset analysis in stochastic … volatility models. We discuss several recent developments in the theory of derivative pricing under incompleteness in the context …

The Paper reports a basic Experiment on the option pricing approach. Each trader with an increasing utility for money …

This paper reports an option pricing experiment on the binomial model, which has been conducted with professional … traders of financial assets. The experimental results are compared to a corresponding experiment with students. The data show …

general and allows for state dependent volatility and jumps. The theoretical properties are studied. An easy procedure to … implementation is discussed: testing on market data reveals a U-shaped form for the "local volatility" depending on the state and …

induced by hedging strategies. This leads to a stochastic volatility endogenously determined by agents' trading behaviour …

Black-Scholes formula for pricing the call option. The asset volatility is a linear function of the asset value and the … model guarantees positive asset prices. We show that the the pricing PDE can be solved if the volatility function is a … whose volatility is affine, a formula for the Bachelier model with constant volatility and a new formula in the case of …