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- W3124423193 abstract "The paper discusses a financial market model that generates stochastic volatility using a minimal number of factors. These factors model the dynamics of different denominations of a benchmark portfolio. Asset prices are specified as transformations of square root processes. Numerical results for the pricing and hedging of standard derivatives on indices for this class of models are documented. This includes cases where the standard risk neutral pricing methodology fails but a form of arbitrage still exists. However, payoffs can be perfectly hedged. In addition, the term structure of implied volatilities is documented." @default.
- W3124423193 created "2021-02-01" @default.
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- W3124423193 date "2001-12-01" @default.
- W3124423193 modified "2023-09-23" @default.
- W3124423193 title "Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility" @default.
- W3124423193 doi "https://doi.org/10.1142/9789812799579_0010" @default.
- W3124423193 hasPublicationYear "2001" @default.
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