Bounds on European Option Prices under Stochastic Volatility
AbstractIn this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model. We give conditions under which infimum respectively the supremum of the possible option prices are equal to the intrinsic value of the option or to the current price of the stock and show that these conditions are satisfied in most of the stochastic volatility models from the financial literature.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 405.
Date of creation: Jul 1997
Date of revision:
Contact details of provider:
Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- A. Dudenhausen & Erik Schlögl & L. Schlögl, 1999.
"Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives,"
Research Paper Series
19, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999.
- Touzi, Nizar, 2000. "Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 305-328, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (BGSE Office).
If references are entirely missing, you can add them using this form.