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American options exercise boundary when the volatility changes randomly

Touzi, Nizar - 1995

Persistent link: https://www.econbiz.de/10000924111

Belief dispersion and convex cost of adjustment in the stock market and in the real economy

Jouini, Elyès - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 4190-4209

Persistent link: https://www.econbiz.de/10014338339

Option hedging and implicit volatilities in a stochastic volatility model

Renault, Eric; Touzi, Nizar - 1993 - Rev

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Contingent claims and market completeness in a stochastic volatility model

Romano, Marc; Touzi, Nizar - 1993

Persistent link: https://www.econbiz.de/10000874372

Monte Carlo methods for stochastic volatility models

Fournié, E.; Lasry, J. M.; Touzi, Nizar - In: Numerical methods in finance, (pp. 146-164). 2008

Persistent link: https://www.econbiz.de/10003723936

Option hedging and implied volatilities in a stochastic volatility model

Renault, Eric - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 279-302

Persistent link: https://www.econbiz.de/10001208961

Statistical inference for random-variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367

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Contingent claims and market completeness in a stochastic volatility model

Romano, Marc - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 399-412

Persistent link: https://www.econbiz.de/10001232776

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Persistent link: https://www.econbiz.de/10003971310

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - In: Review of finance : journal of the European Finance … 16 (2012) 1, pp. 285-321

Persistent link: https://www.econbiz.de/10009520598