ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

DOI10.1111/j.0960-1627.2005.00210.xzbMath1109.91025OpenAlexW3121219482MaRDI QIDQ5464335

Vicky Henderson

Publication date: 17 August 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00210.x

zbMATH Keywords

incomplete marketscoupling\(q\)-optimal pricing measures

Mathematics Subject Classification ID

Related Items (13)

Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Comparison of option prices in semimartingale models ⋮ Indifference valuation in incomplete binomial models ⋮ Discrete hedging in the mean/variance model for European call options ⋮ Portfolios and risk premia for the long run ⋮ Comparison results for stochastic volatility models via coupling ⋮ On changes of measure in stochastic volatility models ⋮ A comparison of option prices under different pricing measures in a stochastic volatility model with correlation ⋮ STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE ⋮ MONOTONICITY OF PRICES IN HESTON MODEL ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework ⋮ A stochastic volatility model and optimal portfolio selection ⋮ A class of stochastic volatility models and theq-optimal martingale measure

Cites Work

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• Weighted norm inequalities and hedging in incomplete markets
• Dynamic programming and mean-variance hedging
• Mean-variance hedging for continuous processes: New proofs and examples
• A minimality property of the minimal martingale measure
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Mean-Variance Hedging for Stochastic Volatility Models
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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