A general decomposition formula for derivative prices in stochastic volatility models

dc.contributor.author	Alòs, Elisa
dc.contributor.other	Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued	2003-02-01
dc.identifier	https://econ-papers.upf.edu/ca/paper.php?id=665
dc.identifier.uri	http://hdl.handle.net/10230/544
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	Economics and Business Working Papers Series; 665
dc.rights	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title	A general decomposition formula for derivative prices in stochastic volatility models
dc.type	info:eu-repo/semantics/workingPaper
dc.date.modified	2016-09-29T02:50:21Z
dc.subject.keyword	Statistics, Econometrics and Quantitative Methods
dc.subject.keyword	continuous-time option pricing model
dc.subject.keyword	stochastic volatility
dc.subject.keyword	ito's formula
dc.subject.keyword	incomplete markets
dc.rights.accessRights	info:eu-repo/semantics/openAccess