Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
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Publication:596915
DOI10.1016/S0895-7177(03)90143-9zbMath1073.91038MaRDI QIDQ596915
Masaaki Otaka, Toshihiro Yoshida
Publication date: 6 August 2004
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
estimation; stochastic volatility; option pricing; martingale; risk premium; incomplete market model; Nikkei 225 options
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software
Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- ARCH models as diffusion approximations
- THE GARCH OPTION PRICING MODEL
- A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
- Option Pricing Under Incompleteness and Stochastic Volatility
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Hopscotch: a Fast Second-order Partial Differential Equation Solver
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