STOCHASTIC VOLATILITY

DOI10.1142/S021902490200150XMaRDI QIDQ3022059zbMATH OpenOpenAlexFDO

Authors Sotirios Sabanis

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902490200150x

zbMATH Keywords

change of measureHull and White modelstochastic calculusstochastic volatility

Mathematics Subject Classification ID

Recommendations

• Stochastic volatility models with application in option pricing
• The pricing of options on assets with stochastic volatilities
• Option pricing for stochastic volatility models: vol-of-vol expansion
• Option pricing with stochastic volatility models.
• scientific article; zbMATH DE number 5846090

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Contingent claims and market completeness in a stochastic volatility model.
• DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT?
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL¹
• Martingales and stochastic integrals in the theory of continuous trading
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities

Cited in

(23)

• Iterative estimation procedure for option pricing with stochastic volatility models
• The Jacobi stochastic volatility model
• A semi-analytic valuation of American options under a two-state regime-switching economy
• Stochastic volatility models with application in option pricing
• Statistical decomposition of volatility
• Periodic autoregressive stochastic volatility
• Random coefficient volatility models
• The Valuation of Volatility Options
• Option pricing for stochastic volatility models: vol-of-vol expansion
• The pricing of options on assets with stochastic volatilities
• scientific article; zbMATH DE number 6521211 (Why is no real title available?)
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Stochastic volatility models and Kelvin waves
• Bond markets with stochastic volatility
• Probabilistic Properties of Stochastic Volatility Models
• Multivariate Stochastic Volatility
• Complications with stochastic volatility models
• HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY
• scientific article; zbMATH DE number 5490661 (Why is no real title available?)
• EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
• Stochastic volatility demand systems
• Option pricing with stochastic volatility models.
• An option pricing formula for the GARCH diffusion model

This page was built for publication: STOCHASTIC VOLATILITY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3022059)