A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448): Difference between revisions

@@ Property / OpenAlex ID @@
+W3122969328
@@ Property / OpenAlex ID: W3122969328 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging for Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Weighted norm inequalities and hedging in incomplete markets
+Normal rank
@@ Property / cites work @@
+The variance-optimal martingale measure for continuous processes
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging in continuous time
@@ Property / cites work: Mean-variance hedging in continuous time / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4221325
@@ Property / cites work: Q4221325 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Martingales versus PDEs in finance: an equivalence result with examples
+Normal rank
@@ Property / cites work @@
+ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Volatility misspecification, option pricing and superreplication via coupling
+Normal rank
@@ Property / cites work @@
+STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE
+Normal rank
@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3374319
@@ Property / cites work: Q3374319 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for continuous processes: New proofs and examples
+Normal rank
@@ Property / cites work @@
+On the minimal entropy martingale measure.
@@ Property / cites work: On the minimal entropy martingale measure. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3763296
@@ Property / cites work: Q3763296 / rank @@
+Normal rank
@@ Property / cites work @@
+Contingent Claims and Market Completeness in a Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+A minimality property of the minimal martingale measure
+Normal rank