Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
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- 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.
References listed on IDEAS
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World Scientific Publishing Co. Pte. Ltd..
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- N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.
- Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.
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- repec:spr:portec:v:2:y:2003:i:3:d:10.1007_s10258-003-0024-5 is not listed on IDEAS
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-2004-04-11 (All new papers)
- NEP-CFN-2004-04-11 (Corporate Finance)
- NEP-FIN-2004-04-11 (Finance)
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