Browsing 01 Mathematical Sciences by Author "Heath David"

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Browsing 01 Mathematical Sciences by Author "Heath David"

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  • Local volatility function models under a benchmark approach 
    Heath David; Platen Eckhard (SAGE Publications, 2006)
    Without requiring the existence of an equivalent risk-neutral probability measure this paper studies a class of one-factor local volatility function models for stock indices under a benchmark approach. It is assumed that ...
  • Pricing of index options under a minimal market model with log-normal scaling 
    Platen Eckhard; Heath David (John Wiley and Sons Inc, 2007)
    This paper describes a two-factor model for a diversified market index using the growth optimal portfolio with a stochastic and possibly correlated intrinsic timescale. The index is modelled using a time transformed ...