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A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Exotic derivatives under stochastic volatility models with jumps
Double-barrier options volatility surface volatility derivatives forward starting options
2010/11/3
In equity and foreign exchange markets the risk-neutral dynamics of the underlying asset are commonly represented by stochastic volatility models with jumps. In this paper we consider a dense subclass...