Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
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- Gatfaoui Hayette & Chauveau Thierry, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance 0404002, EconWPA.
References listed on IDEAS
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More about this item
Keywordscall pricing; idiosyncratic risk; incomplete market; stochastic volatility; systematic risk;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-FIN-2004-08-16 (Finance)
- NEP-FMK-2004-06-02 (Financial Markets)
- NEP-RMG-2004-08-16 (Risk Management)
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