Sircar, K. Ronnie; Papanicolaou, George - In: Applied Mathematical Finance 6 (1999) 2, pp. 107-145
We consider the pricing and hedging problem for options on stocks whose volatility is a random process. Traditional approaches, such as that of Hull and White, have been successful in accounting for the much observed smile curve, and the success of a large class of such models in this respect is...