STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE

DOI10.1111/J.0960-1627.2004.00204.XMaRDI QIDQ4673670zbMATH OpenOpenAlexFDO

Authors David Hobson

Publication date 9 May 2005

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.0960-1627.2004.00204.x

zbMATH Keywords

\(q\)-optimal measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• A comparison of two quadratic approaches to hedging in incomplete markets
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• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• Approximation pricing and the variance-optimal martingale measure
• Complete Models with Stochastic Volatility
• Dynamic programming and mean-variance hedging
• Exponential Hedging and Entropic Penalties
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• Mean-variance hedging for stochastic volatility models
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• Option hedging for semimartingales
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• Weighted norm inequalities and hedging in incomplete markets

Cited in

(38)

• Variance-optimal martingale measures for diffusion processes with stochastic coefficients
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes
• On the structure of general mean-variance hedging strategies
• Portfolios and risk premia for the long run
• Explicit solutions of some utility maximization problems in incomplete markets
• An entropy approach to the Stein and Stein model with correlation
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Power utility maximization under partial information: some convergence results
• The minimal entropy measure and an Esscher transform in an incomplete market model
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
• Bessel processes, stochastic volatility, and timer options
• Chi-square simulation of the CIR process and the Heston model
• A class of stochastic volatility models and theq-optimal martingale measure
• Hedging (co)variance risk with variance swaps
• Non-Gaussian GARCH option pricing models and their diffusion limits
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
• Utility maximization in affine stochastic volatility models
• $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
• Pricing European options with stochastic volatility under the minimal entropy martingale measure
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• Risk premia and optimal liquidation of credit derivatives
• Option pricing under autoregressive random variance models
• Bayesian inference for Heston-STAR models
• On the multi-dimensional portfolio optimization with stochastic volatility
• AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
• Indifference valuation in incomplete binomial models
• Exponential utility maximization under partial information
• Optimal static-dynamic hedges for exotic options under convex risk measures
• \(q\)-optimal martingale measures for discrete time models
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• Correlations and bounds for stochastic volatility models
• Characterisation of optimal dual measures via distortion
• Time-consistent actuarial valuations

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