A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
نویسندگان
چکیده
We would like to thank participants at the Oxford-Princeton Mathematical Finance Workshop, especially Roger Lee and Peter Carr, the 6th Columbia-JAFEE Conference and seminar participants at Warwick Business School, Imperial College London, Heriot-Watt University, Humboldt University, University of Tokyo, Waseda University and Columbia University. The second author is supported by an Advanced Fellowship from the EPSRC. The fourth author acknowledges partial support from DAAD, EPSRC and KWI. Corresponding author. Department of Operations Research and Financial Engineering, and the Bendheim Center for Finance, Princeton University, Princeton, NJ, 08544. Email: [email protected]. Tel (609) 258 7923 Department of Mathematics, University of Bath, Bath. BA2 7AY. UK Nomura Centre for Quantitative Finance, OCIAM, Mathematical Institute, 24-29 St. Giles’, Oxford, OX1 3LB. UK.
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