A general decomposition formula for derivative prices in stochastic volatility models
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References listed on IDEAS
- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Fabienne Comte & Eric Renault, 1998.
"Long memory in continuous-time stochastic volatility models,"
Wiley Blackwell, vol. 8(4), pages 291-323.
- Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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- Elisa Alòs, 2004. "A generalization of Hull and White formula and applications to option pricing approximation," Economics Working Papers 740, Department of Economics and Business, Universitat Pompeu Fabra.
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KeywordsContinuous-time option pricing model; stochastic volatility; Ito's formula; incomplete markets;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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