{"entities":{"Q5929887":{"pageid":8106689,"ns":120,"title":"Item:Q5929887","lastrevid":39830007,"modified":"2025-01-27T18:01:50Z","type":"item","id":"Q5929887","labels":{"en":{"language":"en","value":"Asset pricing with stochastic volatility"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1587019"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$415FC863-371E-4EFC-BF16-BD75EB5C489F","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"6f988fb7d8c3c4ea2ca5da0778134715bb494ab9","datavalue":{"value":{"text":"Asset pricing with stochastic volatility","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q5929887$18AB56D9-6312-4053-9F07-A90AD30DEA8E","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"661536d87a13ad84ecae1615ec395ae5f8317afc","datavalue":{"value":"1013.91040","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$ACAD914F-29E3-4805-9BDF-0452F1328E08","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"1a784301224b4d58f037d92b9918c6b8b8cf391b","datavalue":{"value":{"entity-type":"item","numeric-id":594828,"id":"Q594828"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$9A369168-4475-4721-894C-0CDCA0C32415","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"7b50a90ea681a2e6ebb457f9e68a0b8e4dfaaeaa","datavalue":{"value":{"entity-type":"item","numeric-id":326835,"id":"Q326835"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$E2B9EC0D-9EB9-499B-8A86-F1C0BDFF1EC5","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"26e7ae313d93fb8f78524ce8d90a3561478c5c60","datavalue":{"value":{"entity-type":"item","numeric-id":162704,"id":"Q162704"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$860B7751-4FB3-45EA-A962-8A991371C4E6","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"f5cb42786aa5df8aa2e8d3fe9d7f16860c13352e","datavalue":{"value":{"time":"+2003-07-13T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q5929887$B67FCDB3-E12B-4187-BC89-701C6D00CCA5","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"d7974c2b8930d8217fe6b426c63c59dd276c88e5","datavalue":{"value":"Let a market consist of a stock \\(S_t\\) and a bond \\(B_t\\) governed by the equations  \\[ dS_t= a(t,S_t)S_tdt+ \\sigma_tS_tdw_t \\]  and  \\[ dB_t=r_t B_tdt,\\;B_0=1, \\]  where \\(r_t\\) is a bounded, nonnegative, progressively measurable interest rate process. The volatility \\(\\sigma_t\\) is supposed to be random and satisfying on another stochastic differential equation. The market \\((S_t,B_t)\\) is shown to be incomplete, and a PDE for the risk-minimizing price of any contingent claim is derived, using its minimal equivalent martingale measure. A similar result for an another model with stochastic volatility was obtained by \\textit{G. B. Di Masi}, \\textit{Yu. M. Kabanov} and \\textit{W. J. Runggaldier} [Theory Probab. Appl. 39, 172-182 (1994; Zbl 0836.60075)].   Next, it is assumed that the \\(\\sigma_t\\) is observed through a process \\(Y_t\\) subject to random error. A price formula and a PDE are derived regarding the \\(S_t\\) and the \\(Y_t\\) as parameters.    Finally, \\(S_t\\) is supposed to be observed. In this case the market is complete, and any contingent claim is priced by an arbitrage argument instead of risk-minimizing.","type":"string"},"datatype":"string"},"type":"statement","id":"Q5929887$81A8E2BE-52A5-4D6D-880E-13C9A7C7871F","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"9d045ec151ebd1bc877da9721231558d202781c9","datavalue":{"value":{"entity-type":"item","numeric-id":188395,"id":"Q188395"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$A5A3F275-576A-48F0-91CE-87CDF56B4785","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"b0e497fa25972a5e8a0353b17744210646653683","datavalue":{"value":"91B24","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$15C593BF-47E7-4873-A681-1570C08F9DB0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$38F52433-83BA-4BA4-8855-41E0C035AE51","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"54006f64703308f565a048b96b7c6d14d8f5c177","datavalue":{"value":"60G44","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$F2507E93-4A18-43E0-8FE1-944AC0F6A22D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"da30627b99013aa4f6027a3ecc134350da7269ea","datavalue":{"value":"60H05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$0729B9B1-9CB8-4327-89B7-A8D7E3160C3B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$D5324C4F-7CC5-4BD1-81EC-74BA3A2BCC23","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"772afcc76afc6ed455612e61ae15c7b17b2b953a","datavalue":{"value":"60H30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$3EA555A6-599E-4D79-8BBD-22EB2BCC5D15","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"bf1d9b357407517021f04a1be516382460be11e6","datavalue":{"value":"1587019","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$B9651C1F-462A-4B79-8496-F411C2398055","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"1680bb556cd2c8b24e2deff12aeb89cd5a0295af","datavalue":{"value":"asset pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q5929887$92A118D6-6502-4861-9198-2906007D4AB4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a6b3db35268ac10fd6bfc17f9e82ae665d503f97","datavalue":{"value":"stochastic volatility","type":"string"},"datatype":"string"},"type":"statement","id":"Q5929887$5B09AAF8-5EEF-4314-98D7-C40F35594EDD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d4d98f1c4e1030c78ed2caee2f0dd1ff315ef6a9","datavalue":{"value":"nonlinear filtering","type":"string"},"datatype":"string"},"type":"statement","id":"Q5929887$87B70E86-57E3-4FFB-920F-469CC903C0BD","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q5929887$A83E70CE-400F-431D-95BF-6297E9B40B0E","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"584cab4cc535c55e8bc8a7689357acbc7b436c95","datavalue":{"value":"https://doi.org/10.1007/s002450010018","type":"string"},"datatype":"url"},"type":"statement","id":"Q5929887$1AB6949A-7390-4F3D-89ED-B66E59BC075A","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"68a4192401ef88e193f5b0318b2973021504e7f6","datavalue":{"value":"W4248790315","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$76740296-FC9C-4525-996F-9FDFC72BAE08","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"3d287a37ff2854bb7f633ec5de64b7eac33f2412","datavalue":{"value":"10.1007/S002450010018","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q5929887$2345C056-4BB9-4EAC-BE52-903D8F44BC48","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"50be73659e2cd13e16d0660728de7e703e3a936e","datavalue":{"value":{"entity-type":"item","numeric-id":4213630,"id":"Q4213630"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2f5a073ee9b7a2d75b171f98ad4fd5522ee884f5","datavalue":{"value":{"amount":"+0.8196543","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$468CA4D0-3C78-44B4-8661-4CDEC27D3A3B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cc2cd4766b1b96564caaa578e2b19234bee0ae50","datavalue":{"value":{"entity-type":"item","numeric-id":5944941,"id":"Q5944941"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2d9948f802cafa0cdbef4e55ddba41a1d4cc867b","datavalue":{"value":{"amount":"+0.8194192","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$1F0D6416-8E5B-4DFC-85E6-8F9934682657","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2ee30f37d181203d78f0e2cef77d686a2edf7cfc","datavalue":{"value":{"entity-type":"item","numeric-id":1000522,"id":"Q1000522"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2116b392705a45af38e305fc9e6cc599398cb2ab","datavalue":{"value":{"amount":"+0.81923205","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$13A7C83F-9135-412F-9CFD-221CA8BF2094","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ea6ffcb1c5e58138c239b6dc8b4f36c1512b512d","datavalue":{"value":{"entity-type":"item","numeric-id":5391296,"id":"Q5391296"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2b77341770ac1d7d9ca747228d3a97207857d818","datavalue":{"value":{"amount":"+0.8154615","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$054D64CD-DDBC-4B57-B76A-2DC3CC0E11AE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0957f09abf2d7637fa51e4d228fded806076fb05","datavalue":{"value":{"entity-type":"item","numeric-id":5198955,"id":"Q5198955"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"50fb52bd0fbd54fbb97ebfeb6394d7a9392afff0","datavalue":{"value":{"amount":"+0.81542194","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$CFC4273B-458C-4238-BE31-51B267D037F1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"3f7b33a89258a2ec6197b2c3de6de9ac31d1a958","datavalue":{"value":{"entity-type":"item","numeric-id":1313131,"id":"Q1313131"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8f725a38f36476c156fdc29f69d0184da6636908","datavalue":{"value":{"amount":"+0.81120497","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$A16A6156-C2C1-49F9-8CB7-DCB0166A3763","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5b935418b49a20eb785aa466e565219c03bff8f5","datavalue":{"value":{"entity-type":"item","numeric-id":4845603,"id":"Q4845603"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f486d9dc8eed50215a91fcea69dfff8501ecbc7a","datavalue":{"value":{"amount":"+0.8107374","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$61189F85-357C-4040-A6D3-0A3EB9BAD56E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"bc446dc37389791a1d0af9643c9090065a5e88eb","datavalue":{"value":{"entity-type":"item","numeric-id":2430255,"id":"Q2430255"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e5a9dfd77c74ab442f4e2f16423939c41749e016","datavalue":{"value":{"amount":"+0.80589616","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$469BD02D-F445-43BD-B00E-93A76A5B94FD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c6e7178d4635a8ff8564d00a1b541cb0af4fd958","datavalue":{"value":{"entity-type":"item","numeric-id":3146471,"id":"Q3146471"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"150a06d9f12b4d20709a42d54fc6ad40f764cf98","datavalue":{"value":{"amount":"+0.80543303","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ba354e87a58191d58d132c60481c945a3234ce85","datavalue":{"value":{"entity-type":"item","numeric-id":6534273,"id":"Q6534273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q5929887$F95399B8-F59B-4233-BF7D-D8A245709FA2","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:5929887","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:5929887"}}}}}