Correlations and bounds for stochastic volatility models

P.-L. Lions; M. Musiela

Annales de l'I.H.P. Analyse non linéaire (2007)

  • Volume: 24, Issue: 1, page 1-16
  • ISSN: 0294-1449

How to cite

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Lions, P.-L., and Musiela, M.. "Correlations and bounds for stochastic volatility models." Annales de l'I.H.P. Analyse non linéaire 24.1 (2007): 1-16. <http://eudml.org/doc/78727>.

@article{Lions2007,
author = {Lions, P.-L., Musiela, M.},
journal = {Annales de l'I.H.P. Analyse non linéaire},
keywords = {log-normal like models},
language = {eng},
number = {1},
pages = {1-16},
publisher = {Elsevier},
title = {Correlations and bounds for stochastic volatility models},
url = {http://eudml.org/doc/78727},
volume = {24},
year = {2007},
}

TY - JOUR
AU - Lions, P.-L.
AU - Musiela, M.
TI - Correlations and bounds for stochastic volatility models
JO - Annales de l'I.H.P. Analyse non linéaire
PY - 2007
PB - Elsevier
VL - 24
IS - 1
SP - 1
EP - 16
LA - eng
KW - log-normal like models
UR - http://eudml.org/doc/78727
ER -

References

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  1. [1] Beckers S., The constant elasticity of variance model and its implications for options pricing, J. Finan.35 (1981) 661-673. 
  2. [2] Chesney M., Scott L., Pricing European currency options: a comparison of the modified Black–Scholes model and a random variance model, J. Finan. Quant. Anal.24 (1989) 267-284. 
  3. [3] J.-C. Cox, Notes on options pricing I: constant elasticity of variance diffusions, Working paper, Stanford University, 1977. 
  4. [4] Grünbichler A., Longstaff F.A., Valuing futures and options on volatility, J. Banking Finance20 (1996) 985-1001. 
  5. [5] Ikeda N., Watanabe S., Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam, 1987. Zbl0684.60040MR1011252
  6. [6] Karatzas I., Shreve S., Brownian Motion and Stochastic Calculus, Springer, Berlin, 1988. Zbl0638.60065MR917065
  7. [7] Scott L.O., Option pricing when the variance changes randomly: theory, estimation and an application, J. Finan. Quant. Anal.22 (1987) 419-438. 
  8. [8] Scott L.O., Random-variance option pricing: empirical tests of the model delta–sigma hedging, Adv. Futures Options Res.5 (1991) 113-135. 
  9. [9] Wiggins J.B., Option values under stochastic volatility: theory and empirical estimates, J. Finan. Econom.19 (1987) 351-372. 

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