A Risk-Neutral Stochastic Volatility Model

DOI10.1142/S0219024998000163MaRDI QIDQ4216116zbMATH OpenFDO

Authors Yingzi Zhu, Marco Avellaneda

Publication date 28 December 1998

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

Full work available at URL https://doi.org/10.1142/S0219024998000163

zbMATH Keywords

no-arbitrage pricingrisk-neutral stochastic volatility model

Mathematics Subject Classification ID

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Cites work

• An equilibrium characterization of the term structure
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• The pricing of options and corporate liabilities

Cited in

(22)

• Stationary solutions for two nonlinear Black--Scholes type equations.
• Solutions to a stationary nonlinear Black-Scholes type equation
• Econometric specification of the risk neutral valuation model
• A parabolic problem arising in financial mathematics
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
• MEAN-REVERTING STOCHASTIC VOLATILITY
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
• scientific article; zbMATH DE number 1069623 (Why is no real title available?)
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Option pricing under autoregressive random variance models
• On the curvature of the smile in stochastic volatility models
• A Stochastic Volatility Alternative to SABR
• The Alpha‐Heston stochastic volatility model
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
• A long-memory version of the bergomi model: pricing and calibration for American put option
• Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation
• Systemic risk in a unifying framework for cascading processes on networks

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