EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1

DOI10.1111/J.1467-9965.1996.TB00078.XMaRDI QIDQ4226863zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

consistencyincomplete marketstochastic volatility modelmartingale approach

Mathematics Subject Classification ID

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

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• An Intertemporal General Equilibrium Model of Asset Prices
• An introduction to general equilibrium with incomplete asset markets
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Contingent claims and market completeness in a stochastic volatility model.
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• 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
• Options and Efficiency
• Spanning and completeness in markets with contingent claims
• The pricing of options and corporate liabilities

Cited in

(11)

• Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
• The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
• scientific article; zbMATH DE number 7401680 (Why is no real title available?)
• Risk premium and fair option prices under stochastic volatility: the HARA solution.
• American options with stochastic dividends and volatility: a nonparametric investigation
• STOCHASTIC VOLATILITY
• Asset pricing under information with stochastic volatility
• On volatility of prices in arbitrage-free markets
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Conservative delta hedging.
• Estimating dynamic equilibrium models with stochastic volatility

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