EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1

DOI10.1111/J.1467-9965.1996.TB00078.XzbMATH Open0915.90027OpenAlexW2025180282MaRDI QIDQ4226863FDOQ4226863

Authors: Huyên Pham, Nizar Touzi 

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

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zbMATH Keywords

consistencyincomplete marketstochastic volatility modelmartingale approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

Cites Work

• The pricing of options and corporate liabilities
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• ARCH models as diffusion approximations
• Martingales and arbitrage in multiperiod securities markets
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• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingales and stochastic integrals in the theory of continuous trading
• An Intertemporal General Equilibrium Model of Asset Prices
• Options and Efficiency
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• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• An introduction to general equilibrium with incomplete asset markets
• A General Equilibrium Analysis of Option and Stock Market Interactions
• Spanning and completeness in markets with contingent claims

Cited In (11)

• The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
• Title not available (Why is that?)
• On volatility of prices in arbitrage-free markets
• STOCHASTIC VOLATILITY
• American options with stochastic dividends and volatility: a nonparametric investigation
• Asset pricing under information with stochastic volatility
• Conservative delta hedging.
• Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Estimating dynamic equilibrium models with stochastic volatility

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