Comparison results for stochastic volatility models via coupling
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 14 (2010)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 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.:
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 8(1), pages 27-48.
- Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, Springer, vol. 11(1), pages 29-50, January.
- Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, .
"General Properties of Option Prices (Revision of 11-95) (Reprint 058),"
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
1-96, Wharton School Rodney L. White Center for Financial Research.
- Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, . "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 01-96, Wharton School Rodney L. White Center for Financial Research.
- Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. " General Properties of Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1573-1610, December.
- T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 2(2), pages 117-133.
- Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 399-412.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 145-166.
- Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised Oct 2013.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
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