A Risk-Neutral Stochastic Volatility Model

DOI10.1142/S0219024998000163zbMath0909.90036MaRDI QIDQ4216116

Yingzi Zhu, Marco Avellaneda

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

no-arbitrage pricingrisk-neutral stochastic volatility model

Mathematics Subject Classification ID

Related Items (15)

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING ⋮ Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation ⋮ A parabolic problem arising in financial mathematics ⋮ ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS ⋮ MEAN-REVERTING STOCHASTIC VOLATILITY ⋮ ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS ⋮ WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS ⋮ RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE ⋮ Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market ⋮ Stationary solutions for two nonlinear Black--Scholes type equations. ⋮ Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market ⋮ Systemic risk in a unifying framework for cascading processes on networks ⋮ THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES ⋮ Solutions to a stationary nonlinear Black-Scholes type equation ⋮ Option Pricing Under Autoregressive Random Variance Models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• An equilibrium characterization of the term structure

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