A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
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Cited in
(17)- 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
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- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK
- Risk premia and optimal liquidation of credit derivatives
- Option pricing under autoregressive random variance models
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- Application of Moore-Penrose inverse in deciding the minimal martingale measure
- Indifference valuation in incomplete binomial models
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- Comparison of option prices in semimartingale models
- Characterisation of optimal dual measures via distortion
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