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Moment explosions in stochastic volatility models

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Author Info
Leif Andersen ()
Vladimir Piterbarg ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-006-0011-7
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 1 (January)
Pages: 29-50
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Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Heston model; Stochastic volatility; CEV model; Displaced diffusion model; Moment explosion; Integrability; Martingale property; Volatility smile asymptotics; 65C30; 60H10; E43; G12; G13;

References listed on IDEAS
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.:

  1. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, September.
  2. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330. [Downloadable!] (restricted)
  3. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. A. Gulisashvili & E. M. Stein, 2009. "Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models," Quantitative Finance Papers 0906.0392, arXiv.org. [Downloadable!]
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