Option Pricing Under Stochastic Volatility With Incomplete Information

M Bellalah and SM Besbes derive the PDE for options in the presence of shadow qcosts of incomplete information and stochastic volatility. They show the dependency of the option price on information and stochastic volatility. The authors introduce information costs in a general diffusion model for asset prices which allows the description of stochastic volatility in an incomplete market.

You've just tried to access content that is only available to WILMOTT INNER CIRCLE members!

Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal and career information about you and in return we'll give you access to premium content and add you to a v. exclusive mailing list!

For premium content look out for this:

 

If you are a member of wilmott.com and would like to join our Inner Circle then the first thing you need to do is login as usual, and then come back here and you will get further instructions!

If you are not yet a member of wilmott.com but would like to access our articles, and perhaps even join the Inner Circle, then your first step is to register as an ordinary member here.