Equilibrium State Prices In A Stochastic Volatility Model1
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DOI: 10.1111/j.1467-9965.1996.tb00078.x
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Citations
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Cited by:
- Paola Zerilli, 2005.
"Option pricing and spikes in volatility: theoretical and empirical analysis,"
Money Macro and Finance (MMF) Research Group Conference 2005
76, Money Macro and Finance Research Group.
- Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
- Carpinteyro, Martha & Venegas-Martínez, Francisco & Martínez-García, Miguel Ángel, 2018. "Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains," MPRA Paper 90549, University Library of Munich, Germany.
- Bertram Düring, 2009.
"Asset pricing under information with stochastic volatility,"
Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July.
- Düring, Bertram, 2008. "Asset pricing under information with stochastic volatility," CoFE Discussion Papers 08/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000.
"American options with stochastic dividends and volatility: A nonparametric investigation,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
- Carpinteyro, Martha & Venegas Martínez, Francisco & Martínez García, Miguel Ángel, 2019. "Modelado de rendimientos de índices bursátiles mediante movimiento fraccional browniano combinado con procesos de saltos y modulado por cadenas de Markov / Modeling Returns of Stock Indexes through Fr," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(2), pages 163-180, julio-dic.
- Ang, Andrew & Liu, Jun, 2007.
"Risk, return, and dividends,"
Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
- Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
- Andrew Ang & Jun Liu, 2007. "Risk, Return and Dividends," NBER Working Papers 12843, National Bureau of Economic Research, Inc.
- Srdjan Stojanovic, 2006. "Pricing and Hedging of Multi Type Contracts under Multidimensional Risks in Incomplete Markets Modeled by General Itô SDE Systems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 345-372, December.
- Elyès Jouini & Clotilde Napp, 1998.
"Contiuous Time Equilibrium Pricing of Nonredundant Assets,"
Working Papers
98-30, Center for Research in Economics and Statistics.
- Elyes Jouini & Clotilde Napp, 1999. "Continuous Time Equilibrium Pricing of Nonredundant Assets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-008, New York University, Leonard N. Stern School of Business-.
- Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
- Elyès Jouini & Clotilde Napp, 2002.
"Arbitrage Pricing And Equilibrium Pricing: Compatibility Conditions,"
World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 6, pages 131-158,
World Scientific Publishing Co. Pte. Ltd..
- Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.
- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
- Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116, April.
- Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
- Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
- Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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