Autor:	Simon Hurst, Eckhard Platen, David Heath
Rok vydání:	2001
Předmět:	Minimisation (psychology) Class (set theory) Stochastic volatility Incomplete markets Econometrics Equity (finance) Economics Skew Asset (economics) Volatility (finance) Finance
Zdroj:	Asia-Pacific Financial Markets. 8:179-195
ISSN:	1387-2834
DOI:	10.1023/a:1016216432647
Popis:	The paper develops a class of continuous timestochastic volatility models, which generate asset price returnsthat are approximately Student t distributed. Using thecriterion of local risk minimisation in an incomplete marketsetting, option prices are computed. It is shown that impliedvolatility smile and skew patterns of the type often observed inthe markets can be obtained from this class of stochasticvolatility models.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e49851ea86896320fecbce80bf3ddf43 https://doi.org/10.1023/a:1016216432647 Zobrazit plný text záznamu Full text from SpringerLink