OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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Publication:4226865
DOI10.1111/J.1467-9965.1996.TB00117.XzbMATH Open0915.90028OpenAlexW2034258633MaRDI QIDQ4226865FDOQ4226865
Authors: Eric Renault, 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.tb00117.x
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- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
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- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
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- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
- Local parametric analysis of hedging in discrete time
- Title not available (Why is that?)
- Correction to Black-Scholes formula due to fractional stochastic volatility
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