Local volatility function models under a benchmark approach

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