A general decomposition formula for derivative prices in stochastic volatility models
Year of publication: |
2003-02
|
---|---|
Authors: | Alòs, Elisa |
Institutions: | Department of Economics and Business, Universitat Pompeu Fabra |
Subject: | Continuous-time option pricing model | stochastic volatility | Ito's formula | incomplete markets |
-
A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa, (2004)
-
When are Static Superhedging Strategies Optimal?
Branger, Nicole, (2004)
-
Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity
Zhao, Lin, (2015)
- More ...
-
Alòs, Elisa, (2006)
-
On Margrabe options written on stochastic volatility models
Alòs, Elisa, (2015)
-
On the closed-form approximation of short-time random strike options
Alòs, Elisa, (2013)
- More ...