A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: Mathematica / rank | |||
Normal rank | |||
Revision as of 20:27, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A comparison of option prices under different pricing measures in a stochastic volatility model with correlation |
scientific article |
Statements
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (English)
0 references
2 May 2006
0 references
stochastic volatility
0 references
pricing measure
0 references
market price of volatility risk
0 references
Heston model
0 references
Hull White model
0 references
