A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Vicky Henderson, David Hobson, Sam Howison, Tino Kluge
| Year of publication: |
2005
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|---|---|
| Authors: | Henderson, Vicky ; Hobson, David G. ; Howison, Sam ; Kluge, Tino |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 8.2005, 1, p. 5-25
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| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Theorie | Theory | Europa | Europe |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002975937