Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time

DOI10.1287/MNSC.42.7.974zbMATH Open0879.90030OpenAlexW2073676254MaRDI QIDQ4363702FDOQ4363702

Authors: Carolyn W. Chang, Jack S. K. Chang 

Publication date: 25 January 1998

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.42.7.974

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zbMATH Keywords

option pricingstochastic volatilitymartingale valuationstochastic time changerandom maturitycalendar-timeinformation-time economy

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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• Pilot-wave theory and financial option pricing
• Dynamic asset pricing theory with uncertain time-horizon
• Trading volume in models of financial derivatives

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