RISK MANAGEMENT DURING ABNORMAL MARKET CONDITIONS: FURTHER GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS

Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France

Chapter 18 in Derivatives, Risk Management & Value, 2009, pp 771-798 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Chapter OutlineIntroductionOption Pricing in the Presence of a Stochastic VolatilityThe Hull and White modelStein and Stein modelThe Heston modelThe Hoffman, Platen, and Schweizer modelMarket price of volatility riskThe market price of risk for traded assetsGeneralization of Some Models with Stochastic Volatility and Information CostsGeneralization of the Hull and White (1987) modelGeneralization of Wiggins's modelGeneralization of Stein and Stein's modelGeneralization of Heston's modelGeneralization of Johnson and Shanno's modelThe Volatility Smiles: Some Standard ResultsThe smile effect in stock options and index optionsThe smile effect for bond and currency optionsVolatility smiles: Empirical evidenceEmpirical Results Regarding Information Costs and Option PricingInformation costs and option pricing: The estimation methodThe asymmetric distortion of the smileAsymmetric Smiles and information costs in a stochastic volatility modelSummaryQuestionsReferences

Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
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