A note on the Wang transform for stochastic volatility pricing models
Alexandru Badescu, Zhenyu Cui, Juan-Pablo Ortega
| Year of publication: |
November 2016
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|---|---|
| Authors: | Badescu, Alexandru ; Cui, Zhenyu ; Ortega, Juan-Pablo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 189-196
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| Subject: | Distortion function | Stochastic discount factor | Generalized local risk-neutral valuation relationship | GARCH models | Weak convergence | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | CAPM | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |