Mark H. Davis, Jan K. Obloj
Abstract
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Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work [Proc. R. Soc. London, 200
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Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work [Proc. R. Soc. London, 200
Key concepts: Local volatility, Valuation of options, Stochastic volatility, Swap (finance), Derivative (finance), Implied volatility, Variance swap, Volatility (finance)