Towards a self-consistent theory of volatility (Q864196)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5125017
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Towards a self-consistent theory of volatility |
scientific article; zbMATH DE number 5125017 |
Statements
Towards a self-consistent theory of volatility (English)
0 references
13 February 2007
0 references
The present paper continues the authors' previous one [C. R. Acad. Sci., Paris, Sér. I, Math. 331, No. 11, 879--885 (2000; Zbl 0971.49015)]. It aims to construct a theoretical model for pricing and hedging with the volatility determined endogenously through the investors' actions. A self-consistent theory of volatility incorporating the effects of large number of the agents and their actions has been established via a self-consistent volatility equation (SCV equation), which is derived by using an utility function maximal approach on the hedging rate. The SCV equation is well-posed and can be solved through a nonlinear parabolic equation.
0 references
option hedging
0 references
pricing
0 references
0 references
0.7507461309432983
0 references
0.7425305247306824
0 references
0.721875011920929
0 references
0.7163272500038147
0 references
0.7138593196868896
0 references
