Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, to value any instrument having the basic assets as underlying is, in principle, an easy task. For the determination of the risk neutral measure, it is...

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...