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

DOI10.1287/MNSC.42.7.974MaRDI QIDQ4363702zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Recommendations

• The pricing of options on assets with stochastic volatilities
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Volatility time and properties of option prices
• Option pricing with stochastic volatility models.

Cited in

(5)

• Volatility time and properties of option prices
• A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING
• Pilot-wave theory and financial option pricing
• Dynamic asset pricing theory with uncertain time-horizon
• Trading volume in models of financial derivatives

This page was built for publication: Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4363702)