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Citations for "Option Pricing Under Incompleteness and Stochastic Volatility"

by Norbert Hofmann & Eckhard Platen & Martin Schweizer

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  1. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. E. Platen & M. Schweizer, 1997. "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers 1997,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. Martin Schweizer, 1994. "On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition," Discussion Paper Serie B 284, University of Bonn, Germany.
  6. Bowden, Roger J., 2009. "Lifecycle derivatives and retirement income assurance using long-term debt," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(03), pages 361-390, July.
  7. Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Centre de Recherche en Economie et Statistique.
  9. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March.
  10. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  12. David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA.
  15. Schweizer,Martin, . "Variance optimal hedging in discrete time," Discussion Paper Serie B 247, University of Bonn, Germany.
  16. Platen, Eckhard, 2000. "Risk premia and financial modelling without measure transformation," SFB 373 Discussion Papers 2000,92, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  17. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "Mean-variance Hedging Under Partial Information," Papers math/0703424, arXiv.org.
  18. Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116.
  19. Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
  20. Vicky Henderson & David Hobson, 2001. "Passport options with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 97-118.
  21. Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 205-227.
  22. Hofmann, Norbert, 1995. "Stability of weak numerical schemes for stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 63-68.
  23. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March.
  24. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  25. Schweizer, Martin, 1999. "A minimality property of the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 27-31, March.
  26. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
  27. Gatfaoui Hayette & Chauveau Thierry, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance 0404002, EconWPA.
  28. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  29. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
  30. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. K. Ronnie Sircar & George Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 107-145.
  32. M. E. Mancino & S. Ogawa & S. Sanfelici, 2004. "A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model," Economics Department Working Papers 2004-ME01, Department of Economics, Parma University (Italy).
  33. Platen, Eckhard, 1995. "On weak implicit and predictor-corrector methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 69-76.
  34. Ales Čern�, 2007. "Optimal Continuous-Time Hedging With Leptokurtic Returns," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 175-203.
  35. Walter Schachermayer, 1993. "A Counterexample to Several Problems In the Theory of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 217-229.
  36. M. Mania & R. Tevzadze & T. Toronjadze, 2007. "$L^2$-approximating pricing under restricted information," Papers 0708.4095, arXiv.org.
  37. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Leisen, Dietmar P.J., . "Stock Evolution under Stochastic Volatility: A Discrete Approach," Discussion Paper Serie B 407, University of Bonn, Germany, revised May 1999.
  39. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
  40. Jarrow, Robert A., 1994. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 241-261, June.
  41. Nigel Clarke & Kevin Parrott, 1999. "Multigrid for American option pricing with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 177-195.
  42. Max O. Souza & Jorge P. Zubelli, 2007. "On The Asymptotics Of Fast Mean-Reversion Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 817-835.
  43. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.