STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE (Q4673670): Difference between revisions

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-David G. Hobson
@@ Property / author: David G. Hobson / rank @@
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@@ Property / author @@
+David G. Hobson
@@ Property / author: David G. Hobson / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1111/j.0960-1627.2004.00204.x
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+W3125090384
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@@ Property / cites work @@
+Mean-Variance Hedging for Stochastic Volatility Models
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+Exponential Hedging and Entropic Penalties
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+Weighted norm inequalities and hedging in incomplete markets
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+Mean-Variance Hedging and Numeraire
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+On the minimal entropy martingale measure.
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+A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
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+ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
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+A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
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+Dynamic programming and mean-variance hedging
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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@@ links / mardi / name / links / mardi / name @@
+Publication:4673670