EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1
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Publication:4226863
DOI10.1111/j.1467-9965.1996.tb00078.xzbMath0915.90027OpenAlexW2025180282MaRDI QIDQ4226863
Publication date: 5 July 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00078.x
Related Items (7)
APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ Conservative delta hedging. ⋮ American options with stochastic dividends and volatility: a nonparametric investigation ⋮ Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems ⋮ STOCHASTIC VOLATILITY ⋮ Risk premium and fair option prices under stochastic volatility: the HARA solution. ⋮ Asset pricing under information with stochastic volatility
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