Complications with stochastic volatility models

Advances in Applied Probability

Volumn 30, Issue 1, 1998, Pages 256-268

  Sin, Carlos A ^a,b  

^a UBS Ltd   (United Kingdom)

^b UBS Limited   (United Kingdom)

Author keywords

Change of probability measure; Option pricing; Strictly local martingales

Indexed keywords

EID: 0032023043     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800008193     Document Type: Article

References (28)

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