Abstract
The past decade has witnessed a growing research interest in option pricing under constrained market participation. This chapter fucuses on issues related to market incompleteness due to the presence of continuous time stochastic volatility. When markets are incomplete, the value of a contingent claim is generally not attainable with a truly self-financing trading strategy, and absence of arbitrage opportunities is not sufficient to recover a unique rational price function of the claim, as in the celebrated Black and Scholes (1973) case.
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© 2000 Springer Science+Business Media New York
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Fornari, F., Mele, A. (2000). Continuous Time Stochastic Volatility Option Pricing: Foundational Issues. In: Stochastic Volatility in Financial Markets. Dynamic Modeling and Econometrics in Economics and Finance, vol 3. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4533-0_3
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DOI: https://doi.org/10.1007/978-1-4615-4533-0_3
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7045-1
Online ISBN: 978-1-4615-4533-0
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