Risk premium and fair option prices under stochastic volatility: the HARA solution.

DOI10.1016/J.CRMA.2004.11.002zbMath1118.91053OpenAlexW2038246176MaRDI QIDQ1773351

Srdjan D. Stojanovic

Publication date: 28 April 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.11.002

Mathematics Subject Classification ID

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• Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The Monge-Ampère equation

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