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Results tagged with stochastic-calculus
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user 25497
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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stochastic volatility valuation equation
I'm trying to derive the valuation equation under a general stochastic volatility model. What one can read in the litterature is the following reasonning:
One consider a replicating self-financing p …
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market completion in stochastic volatility model
Hi all,
Consider a stochastic volatility model. As there are two sources of risk and one asset only, this is an imcomplete market. One can complete the market by considering a derivative V1 used to h …
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