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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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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