Option Pricing Under Incompleteness and Stochastic Volatility
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Publication:4345929
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Cited in
(54)- No arbitrage in continuous financial markets
- A benchmark approach to filtering in finance
- Risk-neutral compatibility with option prices
- Probing option prices for information
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- Stochastic volatility, smile & asymptotics
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
- OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
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- A Stochastic Volatility Alternative to SABR
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- Delta hedging strategies comparison
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- Stability of weak numerical schemes for stochastic differential equations
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- Option pricing under residual risk and imperfect hedging
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- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
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