Local volatility function models under a benchmark approach

DOI10.1080/14697680600699787MaRDI QIDQ5484644zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

benchmark approachdupire formulafair pricinggrowth optimal portfolioindex derivativeslocal volatility functionminimal market modelmodified cev model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A class of complete benchmark models with intensity-based jumps
• A note on option pricing for the constant elasticity of variance model
• Arbitrage in continuous complete markets
• Complications with stochastic volatility models
• Diversity and relative arbitrage in equity markets
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Local martingales, bubbles and option prices
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• The pricing of options and corporate liabilities
• Volatility skews and extensions of the Libor market model

Cited in

(9)

• Local volatility dynamic models
• Understanding the implied volatility surface for options on a diversified index
• An infinite dimensional stochastic analysis approach to local volatility dynamic models
• A closed-form solution to American options under general diffusion processes
• Is the minimum value of an option on variance generated by local volatility?
• Local volatility of volatility for the VIX market
• Recovering the real-world density and liquidity premia from option data
• scientific article; zbMATH DE number 7249206 (Why is no real title available?)
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH

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