Monotonicity Of Prices In Heston Model
Author
Abstract
Suggested Citation
DOI: 10.1142/S0219024913500167
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Damien Lamberton & Giulia Terenzi, 2019. "Properties of the American price function in the Heston-type models," Working Papers hal-02088487, HAL.
- M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
- Aleksandar Mijatovi'c & Mikhail Urusov, 2011. "A note on a paper by Wong and Heyde," Papers 1105.3918, arXiv.org.
- Rheinländer, Thorsten & Schmutz, Michael, 2013. "Self-dual continuous processes," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1765-1779.
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
"Detecting money market bubbles,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- Thorsten Rheinlander & Michael Schmutz, 2012. "Self-dual continuous processes," Papers 1201.6516, arXiv.org.
More about this item
Keywords
Heston model; monotonicity; put options; maximum principle; correlation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500167. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.