Option pricing under incompleteness and stochastic volatility

Option Pricing With V. G. Martingale Components

Dilip B. Madan
Frank Milne

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Derivative Pricing in Complete and Incomplete Markets

Bosserhoff, Frank

July 2013

The starting point of the present paper is the Binomial Option Pricing Model. It basically assumes t...

OPTION PRICING WITH V. G. MARTINGALE COMPONENTS

Milne, Frank
Madan, Dilip

June 2018

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Option pricing under incompleteness and stochastic volatility

Hofmann, N. (Berlin Freie Univ. (Germany). Inst. fuer Mathematik 1)
Platen, E. (Australian National Univ., Canberra, ACT (Australia)
Berlin Freie Univ. (Germany). Inst. fuer Mathematik 1)
Schweizer, M. (Goettingen Univ. (Germany). Inst. fuer Mathematische Stochastik)
Bonn Univ. (Germany). Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitaeten

January 1992

With 16 figs.Available from TIB Hannover: RO3009(209) / FIZ - Fachinformationszzentrum Karlsruhe / T...

General option pricing beyond black-scholes

Raffelt, Georg G.
Noetzold, Dirk

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

The option pricing approach to the valuation of country risk

Klein, Martin

January 1990

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option pricing and optimal stopping

Christopeit, Norbert

January 1987

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option pricing with bounds on the underlying securities

Sondermann, D.
Bonn Univ. (Germany). Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitaeten

January 1986

SIGLEBibliothek Weltwirtschaft Kiel C 148373 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tech...

Option prices and subjective beliefs

Korn, Ralf
Wilmott, Paul
Universitaet Mainz (Germany)

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel C 204176 / FIZ -...

On the Pricing of Options in Incomplete Markets

Melenberg, B.
Werker, B.J.M.

January 1996

In this paper we reconsider the pricing of options in incomplete continuous time markets.We first di...

The pricing and hedging of options in finitely elastic markets

Frey, Ruediger

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Asset price volatility and option hedging in imperfectly elastic markets

Frey, Ruediger

January 1995

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

The pricing of options with an uncertain interest rate: a discrete time approach

Sandmann, Klaus

January 1989

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option Pricing Under Incompleteness and Stochastic Volatility

Norbert Hofmann
Eckhard Platen
Martin Schweizer

We consider a very general diffusion model for asset prices which allows the description of stochast...

Option pricing with stochastic volatility

Bartoň, Ľuboš

January 2010

This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...

Option Pricing With V. G. Martingale Components

Dilip B. Madan
Frank Milne

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Derivative Pricing in Complete and Incomplete Markets

Bosserhoff, Frank

July 2013

The starting point of the present paper is the Binomial Option Pricing Model. It basically assumes t...

OPTION PRICING WITH V. G. MARTINGALE COMPONENTS

Milne, Frank
Madan, Dilip

June 2018

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Option pricing under incompleteness and stochastic volatility

Hofmann, N. (Berlin Freie Univ. (Germany). Inst. fuer Mathematik 1)
Platen, E. (Australian National Univ., Canberra, ACT (Australia)
Berlin Freie Univ. (Germany). Inst. fuer Mathematik 1)
Schweizer, M. (Goettingen Univ. (Germany). Inst. fuer Mathematische Stochastik)
Bonn Univ. (Germany). Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitaeten

January 1992

With 16 figs.Available from TIB Hannover: RO3009(209) / FIZ - Fachinformationszzentrum Karlsruhe / T...

General option pricing beyond black-scholes

Raffelt, Georg G.
Noetzold, Dirk

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

The option pricing approach to the valuation of country risk

Klein, Martin

January 1990

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option pricing and optimal stopping

Christopeit, Norbert

January 1987

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option pricing with bounds on the underlying securities

Sondermann, D.
Bonn Univ. (Germany). Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitaeten

January 1986

SIGLEBibliothek Weltwirtschaft Kiel C 148373 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tech...

Option prices and subjective beliefs

Korn, Ralf
Wilmott, Paul
Universitaet Mainz (Germany)

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel C 204176 / FIZ -...

On the Pricing of Options in Incomplete Markets

Melenberg, B.
Werker, B.J.M.

January 1996

In this paper we reconsider the pricing of options in incomplete continuous time markets.We first di...

The pricing and hedging of options in finitely elastic markets

Frey, Ruediger

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Asset price volatility and option hedging in imperfectly elastic markets

Frey, Ruediger

January 1995

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

The pricing of options with an uncertain interest rate: a discrete time approach

Sandmann, Klaus

January 1989

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Option Pricing Under Incompleteness and Stochastic Volatility

Norbert Hofmann
Eckhard Platen
Martin Schweizer

We consider a very general diffusion model for asset prices which allows the description of stochast...

Option pricing with stochastic volatility

Bartoň, Ľuboš

January 2010

This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...

Option Pricing With V. G. Martingale Components

Dilip B. Madan
Frank Milne

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Derivative Pricing in Complete and Incomplete Markets

Bosserhoff, Frank

July 2013

The starting point of the present paper is the Binomial Option Pricing Model. It basically assumes t...

OPTION PRICING WITH V. G. MARTINGALE COMPONENTS

Milne, Frank
Madan, Dilip

June 2018

European call options are priced when the uncertainty driving the stock price follows the V. G. stoc...

Option pricing under incompleteness and stochastic volatility

Abstract

Extracted data

Option pricing under incompleteness and stochastic volatility

Abstract

Extracted data

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