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ArticleComparison results for stochastic volatility models via coupling

David G. Hobson2008

Article2008

Comparison results for stochastic volatility models via coupling

David G. Hobson

58 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Economic theories and models

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1988Brownian Motion and Stochastic Calculus 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application 1987Option values under stochastic volatility: Theory and empirical estimates

Cited by

2012BUBBLES, CONVEXITY AND THE BLACK–SCHOLES EQUATION 2012Discretely sampled variance and volatility swaps versus their continuous approximations 2015Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees 2009Bubbles, convexity and the Black–Scholes equation 2012Arbitrage-Free SVI Volatility Surfaces 2012

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Details

Year2008

Typearticle

Published2008-11-19

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-008-0083-7

openalex_workW1990724972

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The Interval Market Model in Mathematical Finance

2012Valuation Equations for Stochastic Volatility Models

2018Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models