Contingent Claims and Market Completeness in a Stochastic Volatility Model

DOI10.1111/1467-9965.00038zbMath1034.91501OpenAlexW2133157852MaRDI QIDQ2707187

Nizar Touzi, Marc Romano

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00038

zbMATH Keywords

maximum principleincomplete marketpartial differential equations

Mathematics Subject Classification ID

Related Items (61)

A Gaussian approximation scheme for computation of option prices in stochastic volatility models ⋮ Stochastic volatility, smile & asymptotics ⋮ The financial market: not as big as you think ⋮ Closed-form convexity and cross-convexity adjustments for Heston prices ⋮ Risk minimization in stochastic volatility models: model risk and empirical performance ⋮ The European options hedge perfectly in a Poisson-Gaussian stock market model ⋮ A generalization of the Hull and White formula with applications to option pricing approximation ⋮ Black-Scholes in a CEV random environment ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments ⋮ Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ Realistic Statistical Modelling of Financial Data ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Option spanning beyond \(L_p\)-models ⋮ Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility ⋮ On securitization, market completion and equilibrium risk transfer ⋮ TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS ⋮ Interest Rates Term Structure Models Driven by Hawkes Processes ⋮ The leverage effect puzzle revisited: identification in discrete time ⋮ The dynamics of stochastic volatility: evidence from underlying and options markets ⋮ A new approach for option pricing under stochastic volatility ⋮ Pricing European Options Under Stochastic Volatilities Models ⋮ Weak Error Rates of Numerical Schemes for Rough Volatility ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ Comparison results for stochastic volatility models via coupling ⋮ Risk-neutral compatibility with option prices ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients ⋮ Turbocharging Monte Carlo pricing for the rough Bergomi model ⋮ An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series ⋮ Stochastic volatility and stochastic leverage ⋮ Affine fractional stochastic volatility models ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ Approximate inversion of the Black-Scholes formula using rational functions ⋮ Large deviations of realized volatility ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach ⋮ Market completion with derivative securities ⋮ THE LARGE-MATURITY SMILE FOR THE SABR AND CEV-HESTON MODELS ⋮ STOCHASTIC VOLATILITY ⋮ VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY ⋮ A comparison of option prices under different pricing measures in a stochastic volatility model with correlation ⋮ Efficient Second-order Weak Scheme for Stochastic Volatility Models ⋮ Convexity of solutions of parabolic equations ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ Implied integrated variance and hedging ⋮ BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS ⋮ Monotonicity of the value function for a two-dimensional optimal stopping problem ⋮ Estimation of objective and risk-neutral distributions based on moments of integrated volatility ⋮ New solvable stochastic volatility models for pricing volatility derivatives ⋮ CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL ⋮ MONOTONICITY OF PRICES IN HESTON MODEL ⋮ EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹ ⋮ Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes ⋮ Option Pricing Under Autoregressive Random Variance Models ⋮ To expand and to abandon: real options under asset variance risk premium ⋮ Risk adjustments of option prices under time-changed dynamics ⋮ WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY

This page was built for publication: Contingent Claims and Market Completeness in a Stochastic Volatility Model