A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation

Author： Henderson Vicky   Hobson David   Howison Sam   Kluge Tino  

Publisher： Springer Publishing Company

ISSN： 1380-6645

Source： Review of Derivatives Research, Vol.8, Iss.1, 2005-06, pp. : 5-25

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Option pricing under hybrid stochastic and local volatility

By CHOI SUN-YONG  

Quantitative Finance, Vol. 13, Iss. 8, 2013-08 ,pp. : 1157-1165

Routledge Ltd

Access to resources Recommend Favorite

Stochastic volatility and option pricing

By Gkamas D.  

Quantitative Finance, Vol. 1, Iss. 3, 2001-03 ,pp. : 292-297

Routledge Ltd

Access to resources Recommend Favorite

Option pricing for some stochastic volatility models

By Thavaneswaran A.   Singh J.   Appadoo S.S.  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 7, Iss. 4, 2006-08 ,pp. : 425-445

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

By Fouque Jean-Pierre   Han Chuan-Hsiang  

Quantitative Finance, Vol. 4, Iss. 5, 2004-10 ,pp. : 597-606

Routledge Ltd

Access to resources Recommend Favorite

Option Prices Under Generalized Pricing Kernels

By Düring Bertram   Lüders Erik  

Review of Derivatives Research, Vol. 8, Iss. 2, 2005-08 ,pp. : 97-123

Springer Publishing Company

Access to resources Recommend Favorite