A general framework for the derivation of asset price bounds: an application to stochastic volatility option models
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 12 (2009)
Issue (Month): 2 (July)
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Web page: http://www.springerlink.com/link.asp?id=102989
Option pricing; Incomplete markets; Good-deal bounds; Benchmark stochastic discount factor; Stochastic volatility model; Continuous time; C61; G12; G13;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
- Cern›, Ales, 2002. "Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets," Royal Economic Society Annual Conference 2002 41, Royal Economic Society.
- Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, 06.
- Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
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