Analytical Comparisons of Option prices in Stochastic Volatility Models
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- Gurdip Bakshi & Nikunj Kapadia, 2003. "Delta-Hedged Gains and the Negative Market Volatility Risk Premium," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 527-566.
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- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
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- Gatfaoui Hayette & Chauveau Thierry, 2004.
"Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility,"
- Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
- David Hobson, 2004. "STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE "q"-OPTIMAL MEASURE," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 537-556.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-ETS-2003-08-31 (Econometric Time Series)
- NEP-FIN-2003-08-31 (Finance)
- NEP-FMK-2003-08-31 (Financial Markets)
- NEP-RMG-2003-08-31 (Risk Management)
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