2004•Risk and Financial ManagementOpen access

Incomplete Markets and Stochastic Volatility

Charles S. Tapiero

Abstract

This chapter contains sections titled: Volatility Defined Memory and Volatility Volatility, Equilibrium and Incomplete Markets Process Variance and Volatility Implicit Volatility and the Volatility Smile Stochastic Volatility Models Equilibrium, SDF and the Euler Equations Selected Topics The Range Process and Volatility References and Additional Reading Appendix: Development for the Hull and White Model (1987)

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Key concepts: Stochastic volatility, Volatility (finance), Implied volatility, Forward volatility, Variance swap, Volatility smile, Volatility swap, Volatility risk premium