@article{AIHPC_2007__24_1_1_0,
author = {Lions, P.-L. and Musiela, M.},
title = {Correlations and bounds for stochastic volatility models},
journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
pages = {1--16},
year = {2007},
publisher = {Elsevier},
volume = {24},
number = {1},
doi = {10.1016/j.anihpc.2005.05.007},
mrnumber = {2286556},
zbl = {1108.62110},
language = {en},
url = {https://www.numdam.org/articles/10.1016/j.anihpc.2005.05.007/}
}
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 SP - 1 EP - 16 VL - 24 IS - 1 PB - Elsevier UR - https://www.numdam.org/articles/10.1016/j.anihpc.2005.05.007/ DO - 10.1016/j.anihpc.2005.05.007 LA - en ID - AIHPC_2007__24_1_1_0 ER -
%0 Journal Article %A Lions, P.-L. %A Musiela, M. %T Correlations and bounds for stochastic volatility models %J Annales de l'I.H.P. Analyse non linéaire %D 2007 %P 1-16 %V 24 %N 1 %I Elsevier %U https://www.numdam.org/articles/10.1016/j.anihpc.2005.05.007/ %R 10.1016/j.anihpc.2005.05.007 %G en %F AIHPC_2007__24_1_1_0
Lions, P.-L.; Musiela, M. Correlations and bounds for stochastic volatility models. Annales de l'I.H.P. Analyse non linéaire, Tome 24 (2007) no. 1, pp. 1-16. doi: 10.1016/j.anihpc.2005.05.007
[1] , The constant elasticity of variance model and its implications for options pricing, J. Finan. 35 (1981) 661-673.
[2] , , 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] J.-C. Cox, Notes on options pricing I: constant elasticity of variance diffusions, Working paper, Stanford University, 1977.
[4] , , Valuing futures and options on volatility, J. Banking Finance 20 (1996) 985-1001.
[5] , , Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam, 1987. | Zbl | MR
[6] , , Brownian Motion and Stochastic Calculus, Springer, Berlin, 1988. | Zbl | MR
[7] , Option pricing when the variance changes randomly: theory, estimation and an application, J. Finan. Quant. Anal. 22 (1987) 419-438.
[8] , Random-variance option pricing: empirical tests of the model delta-sigma hedging, Adv. Futures Options Res. 5 (1991) 113-135.
[9] , Option values under stochastic volatility: theory and empirical estimates, J. Finan. Econom. 19 (1987) 351-372.
Cité par Sources :






