A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
This paper investigates option prices in an incomplete stochastic volatility model with correlation. In a general setting, we prove an ordering result which says that prices for European options with convex payoffs are decreasing in the market price of volatility risk. As an example, and as our mai...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
2003
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