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Bounds on European option prices under stochastic volatility

Frey, Rüdiger; Sin, Carlos A. - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 97-116

Persistent link: https://www.econbiz.de/10001372177

Bounds on European Option Prices under Stochastic Volatility

Sin, Carlos A.; Frey, Rüdiger - 1997

In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model. We give conditions under which infimum respectively the supremum of the possible option prices are equal to the intrinsic value of the option or to the...

Persistent link: https://www.econbiz.de/10005841335

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187

Persistent link: https://www.econbiz.de/10001486701

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

Perfect option hedging for a large trader

Frey, Rüdiger - In: Finance and stochastics 2 (1998) 2, pp. 115-141

Persistent link: https://www.econbiz.de/10001235410

Derivative asset analysis in models with level-dependent and stochastic volatility

Frey, Rüdiger - 1997

Persistent link: https://www.econbiz.de/10000959999

Risk minimization with incomplete information in a model for high-frequency data

Frey, Rüdiger - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 215-225

Persistent link: https://www.econbiz.de/10002177564

Market volatility and feedback effects from dynamic hedging

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908124

Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

A systematic approach to pricing and hedging of international derivatives with interest rate risk

Frey, Rüdiger - 1995

Persistent link: https://www.econbiz.de/10000908122

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