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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …
Persistent link: https://www.econbiz.de/10008746123
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Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
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Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 49-59
Persistent link: https://www.econbiz.de/10002582917
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A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Henderson, Vicky; Hobson, David G.; Howison, Sam; … - In: Review of derivatives research 8 (2005) 1, pp. 5-25
Persistent link: https://www.econbiz.de/10002975937
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A comparison of two quadratic approaches to hedging in incomplete markets
Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
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Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa; Venardos, Emmanouil - In: Mathematical finance : an international journal of … 13 (2003) 4, pp. 445-466
Persistent link: https://www.econbiz.de/10001803210
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Pricing of derivatives on mean-reverting assets
Lutz, Björn - 2010
stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10003846466
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Hillman, Timothy; Zhang, Nan; Zhuo, Jin - In: Risks : open access journal 6 (2018) 2, pp. 1-20
are restricted in order to preserve the drift and the volatility of the project-value process that it modifies. By …
Persistent link: https://www.econbiz.de/10011866522
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Dynamic behaviour of optimal portfolio with stochastic volatility
Zhang, Yongmin; Zhao, Yingxue - In: Economic research 34 (2021) 1,1, pp. 352-367
Persistent link: https://www.econbiz.de/10013341632