Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520): Difference between revisions

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Latest revision as of 19:03, 8 July 2024

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Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
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    Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (English)
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    27 July 2014
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    incomplete markets
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    stochastic volatility model
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    CIR process
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    Ornstein-Uhlenbeck process
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    good-deal bounds
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