Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis

DOI10.1016/S0895-7177(03)90143-9zbMath1073.91038OpenAlexW1974327042MaRDI QIDQ596915

Masaaki Otaka, Toshihiro Yoshida

Publication date: 6 August 2004

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(03)90143-9

zbMATH Keywords

estimationstochastic volatilityoption pricingmartingalerisk premiumincomplete market modelNikkei 225 options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Hopscotch

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• ARCH models as diffusion approximations
• THE GARCH OPTION PRICING MODEL
• A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
• Option Pricing Under Incompleteness and Stochastic Volatility
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Hopscotch: a Fast Second-order Partial Differential Equation Solver

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