scientific article; zbMATH DE number 1867095

zbMATH Open1023.91025MaRDI QIDQ4792529FDOQ4792529

Eckhard Platen, David Heath

Publication date: 11 February 2003

Title of this publication is not available (Why is that?)

Recommendations

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• Index-option pricing with stochastic volatility and the value of accurate variance forecasts
• Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’

zbMATH Keywords

stochastic volatilityasset pricesfinancial marketbenchmark portfolio

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (6)

• Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
• Pricing of index options under a minimal market model with log-normal scaling
• A benchmark approach to filtering in finance
• A class of complete benchmark models with intensity-based jumps
• Understanding the implied volatility surface for options on a diversified index
• CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING

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