Local volatility function models under a benchmark approach
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Publication:5484644
DOI10.1080/14697680600699787zbMATH Open1136.91439OpenAlexW2021163852MaRDI QIDQ5484644FDOQ5484644
Authors: Eckhard Platen, David Heath 
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600699787
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Cites Work
- The pricing of options and corporate liabilities
- Volatility skews and extensions of the Libor market model
- Local martingales, arbitrage, and viability. Free snacks and cheap thrills
- Diversity and relative arbitrage in equity markets
- Local martingales, bubbles and option prices
- Complications with stochastic volatility models
- Arbitrage in continuous complete markets
- A note on option pricing for the constant elasticity of variance model
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- A class of complete benchmark models with intensity-based jumps
Cited In (8)
- Title not available (Why is that?)
- Recovering the real-world density and liquidity premia from option data
- A closed-form solution to American options under general diffusion processes
- Is the minimum value of an option on variance generated by local volatility?
- Understanding the implied volatility surface for options on a diversified index
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Local volatility dynamic models
- Local volatility of volatility for the VIX market
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