A comparison of option prices under different pricing measures in a stochastic volatility model with correlation

DOI10.1007/s11147-005-1005-xzbMath1134.91423MaRDI QIDQ2490448

Vicky Henderson, S. D. Howison, David G. Hobson, Tino Kluge

Publication date: 2 May 2006

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:0918876f-02f4-4d35-8408-784e290b9c52

zbMATH Keywords

stochastic volatility; Heston model; pricing measure; Hull White model; market price of volatility risk

Mathematics Subject Classification ID

91B70: Stochastic models in economics

Related Items

STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE, ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS, Application of Moore-Penrose inverse in deciding the minimal martingale measure, Indifference valuation in incomplete binomial models, Bounds for the utility-indifference prices of non-traded assets in incomplete markets, Comparison of option prices in semimartingale models, Characterisation of optimal dual measures via distortion, A general framework for the derivation of asset price bounds: An application to stochastic volatility option models, Comparison results for stochastic volatility models via coupling, Corrections to the Prices of Derivatives due to Market Incompleteness, Risk minimization in stochastic volatility models: model risk and empirical performance

Uses Software

• Mathematica

Cites Work

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