A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448)
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scientific article; zbMATH DE number 5021495
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| English | A comparison of option prices under different pricing measures in a stochastic volatility model with correlation |
scientific article; zbMATH DE number 5021495 |
Statements
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (English)
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2 May 2006
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stochastic volatility
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pricing measure
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market price of volatility risk
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Heston model
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Hull White model
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0.9073363542556764
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0.8252646923065186
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0.7754219174385071
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0.7578984498977661
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