Local volatility function models under a benchmark approach
- 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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2006004057.pdf | 1.33 MB |
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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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