STOIKOV, SASHA F. - In: International Journal of Theoretical and Applied … 09 (2006) 08, pp. 1245-1266
This paper is a contribution to the pricing and hedging of options in a market where the volatility is stochastic. The new concept of relative indifference pricing is further developed. This relative price is the price at which an option trader is indifferent to trade in an additional option,...