A Risk-Neutral Stochastic Volatility Model

DOI10.1142/S0219024998000163zbMath0909.90036MaRDI QIDQ4216116

Yingzi Zhu, Marco Avellaneda

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

no-arbitrage pricingrisk-neutral stochastic volatility model

Mathematics Subject Classification ID

Related Items

VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING, Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation, A parabolic problem arising in financial mathematics, ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS, MEAN-REVERTING STOCHASTIC VOLATILITY, ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS, WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS, RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE, Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market, Stationary solutions for two nonlinear Black--Scholes type equations., Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market, Systemic risk in a unifying framework for cascading processes on networks, THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES, Solutions to a stationary nonlinear Black-Scholes type equation, Option Pricing Under Autoregressive Random Variance Models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• An equilibrium characterization of the term structure