Option Pricing Under Incompleteness and Stochastic Volatility

DOI10.1111/j.1467-9965.1992.tb00027.xzbMath0900.90095OpenAlexW1999013111MaRDI QIDQ4345929

Norbert Hofmann, Eckhard Platen, Martin Schweizer

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00027.x

zbMATH Keywords

stochastic volatilityoption pricingincomplete marketsstochastic numerical methodsequivalent martingale measures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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