Local volatility function models under a benchmark approach
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DOI: 10.1080/14697680600699787
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- David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney.
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Citations
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Cited by:
- Shane M. Miller & Eckhard Platen, 2008.
"Analytic Pricing Of Contingent Claims Under The Real-World Measure,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867.
- Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney.
- David Heath & Eckhard Platen, 2004.
"Understanding the Implied Volatility Surface for Options on a Diversified Index,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 55-77, March.
- David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016.
"Recovering the real-world density and liquidity premia from option data,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1147-1164, July.
- Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015. "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series 363, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
- repec:uts:finphd:40 is not listed on IDEAS
- Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jing Zhao & Hoi Ying Wong, 2012. "A closed-form solution to American options under general diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 725-737, July.
- Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
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More about this item
Keywords
Local volatility function; Index derivatives; Growth optimal portfolio; Benchmark approach; Fair pricing; Dupire formula; Modified CEV model; Minimal market model;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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