scientific article; zbMATH DE number 1234540
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Publication:4221325
zbMath0913.90015MaRDI QIDQ4221325
Publication date: 3 January 1999
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The pricing of options for securities markets with delayed response ⋮ Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Comparison of option prices in semimartingale models ⋮ Option bounds ⋮ A filtering approach to tracking volatility from prices observed at random times ⋮ Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis ⋮ Weighted average price in the Heston stochastic volatility model ⋮ On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models ⋮ On changes of measure in stochastic volatility models ⋮ Variance reduction for Monte Carlo simulation in a stochastic volatility environment ⋮ A comparison of option prices under different pricing measures in a stochastic volatility model with correlation ⋮ Stochastic Integrals and Conditional Full Support ⋮ The simulation of option prices with application to LIFFE options on futures
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