Concepedia

Option Hedging with Stochastic Volatility

Adam Kurpiel, Thierry Roncalli

SSRN Electronic Journal · 1998 · 18 citations · 16 references

DOIFull text

Open access

Concepts

References

16

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

, , +12

The stochastic behavior of common stock variances Value, leverage and interest rate effects

Andrew Christie · Journal of Financial Economics · 1982 · 2.4K citations

, , +16

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 1.2K citations

, , +12