42 citations · 46 across the 13 of their papers we have counts for
5 papers · 1 filter
Convergence of the discrete variance swap in time-homogeneous diffusion models
Carole Bernard, Zhenyu Cui, Don McLeish
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance sw…
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Carole Bernard, Zhenyu Cui, Don McLeish
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. B…
Optimal Payoffs under State-dependent Preferences
Carole Bernard, Franck Moraux, Ludger Rueschendorf +1
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distributi…
Prices and Asymptotics for Discrete Variance Swaps
Carole Bernard, Zhenyu Cui
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochast…
Rationalizing Investors Choice
Carole Bernard, Jit Seng Chen, Steven Vanduffel
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal in…