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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa - 2015
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/10013039076
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Option hedging and implicit volatilities in a stochastic volatility model
Renault, Eric; Touzi, Nizar - 1993 - Rev
Persistent link: https://www.econbiz.de/10000874371
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10001493867
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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
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American options exercise boundary when the volatility changes randomly
Touzi, Nizar - 1995
Persistent link: https://www.econbiz.de/10000924111