Local volatility function models under a benchmark approach

Heath, DP; Platen, E

Local volatility function models under a benchmark approach

Heath, DP Platen, E

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Publisher:: Routledge Journals, Taylor & Francis Ltd
Publication Type:: Journal Article
Citation:: Quantitative Finance, 2006, 6 (3), pp. 197 - 206
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Heath, DP	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Quantitative Finance, 2006, 6 (3), pp. 197 - 206	en_US
dc.identifier.issn	1469-7688	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3389
dc.description.abstract	Without requiring the existence of an equivalent risk-neutral probability measure this paper studies a class of one-factor local volatility function models for stock indices under a benchmark approach. It is assumed that the dynamics for a large diversif	en_US
dc.publisher	Routledge Journals, Taylor & Francis Ltd	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0343913
dc.relation.ispartof	Quantitative Finance	en_US
dc.relation.isbasedon	10.1080/14697680600699787	en_US
dc.subject.classification	Finance	en_US
dc.title	Local volatility function models under a benchmark approach	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	6	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
dc.location.activity	Wellington, New Zealand
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	3	en_US
pubs.volume	6	en_US

Abstract:

Without requiring the existence of an equivalent risk-neutral probability measure this paper studies a class of one-factor local volatility function models for stock indices under a benchmark approach. It is assumed that the dynamics for a large diversif

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http://hdl.handle.net/10453/3389