Option Pricing Under Incompleteness and Stochastic Volatility
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- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingale densities for general asset prices
- Martingales and arbitrage in multiperiod securities markets
- Mean-variance hedging for general claims
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimization Problems in the Theory of Continuous Trading
- Optimum consumption and portfolio rules in a continuous-time model
- Option hedging for semimartingales
- Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
- The approximation of multiple stochastic integrals
- The pricing of options and corporate liabilities
Cited in
(55)- Valuation of FX barrier options under stochastic volatility
- Convex viscosity solutions and state constraints
- On the implied market price of risk under the stochastic numéraire
- Risk premium and fair option prices under stochastic volatility: the HARA solution.
- On the pricing of contingent claims under constraints
- Conservative delta hedging.
- On weak implicit and predictor-corrector methods
- A minimality property of the minimal martingale measure
- No arbitrage in continuous financial markets
- Backward stochastic partial differential equations related to utility maximization and hedging
- On fuzzy type-1 and type-2 stochastic ordinary and partial differential equations and numerical solution
- Option pricing under residual risk and imperfect hedging
- Option pricing in incomplete markets
- Risk-neutral compatibility with option prices
- Pricing barrier options under stochastic volatility framework
- Delta hedging strategies comparison
- Interest rate options valuation under incomplete information
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- A fair pricing approach to weather derivatives
- A benchmark approach to filtering in finance
- Probing option prices for information
- Bessel processes, stochastic volatility, and timer options
- On the complete model with stochastic volatility by Hobson and Rogers
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- Option Pricing in the Presence of Uncertainty
- Option pricing in the presence of random arbitrage return
- Option pricing in incomplete markets. Modeling based on geometric Lévy processes and minimal entropy martingale measures.
- scientific article; zbMATH DE number 1222796 (Why is no real title available?)
- Weak convergence and distributional assumptions for a general class of nonliner arch models
- scientific article; zbMATH DE number 1114380 (Why is no real title available?)
- Hedging options in the incomplete market with stochastic volatility
- scientific article; zbMATH DE number 1944280 (Why is no real title available?)
- Fuzzy measures and asset prices: accounting for information ambiguity
- Stochastic volatility, smile & asymptotics
- Multigrid for American option pricing with stochastic volatility
- Passport options with stochastic volatility
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- A variance reduction technique based on integral representations
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- On the minimal martingale measure and the möllmer-schweizer decomposition
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Option pricing via maximization over uncertainty and correction of volatility smile
- Option pricing and hedging under stochastic Verhulst-Gompertz equation
- OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
- A Stochastic Volatility Alternative to SABR
- Stability of weak numerical schemes for stochastic differential equations
- Stability of weak numerical schemes for stochastic differential equations
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
- Option pricing and stochastic optimization
- Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
- Comparison of option prices in semimartingale models
- On changes of measure in stochastic volatility models
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