{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,14]],"date-time":"2026-05-14T01:39:48Z","timestamp":1778722788363,"version":"3.51.4"},"reference-count":35,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2008,11,20]],"date-time":"2008-11-20T00:00:00Z","timestamp":1227139200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2010,1]]},"DOI":"10.1007\/s00780-008-0083-7","type":"journal-article","created":{"date-parts":[[2008,11,19]],"date-time":"2008-11-19T19:20:01Z","timestamp":1227122401000},"page":"129-152","source":"Crossref","is-referenced-by-count":52,"title":["Comparison results for stochastic volatility models via\u00a0coupling"],"prefix":"10.1007","volume":"14","author":[{"given":"David","family":"Hobson","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2008,11,20]]},"reference":[{"key":"83_CR1","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1007\/s00780-006-0011-7","volume":"11","author":"L.B.G. Andersen","year":"2007","unstructured":"Andersen, L.B.G., Piterbarg, V.V.: Moment explosions in stochastic volatility models. Finance Stoch. 11, 29\u201350 (2007)","journal-title":"Finance Stoch."},{"key":"83_CR2","doi-asserted-by":"crossref","first-page":"73","DOI":"10.1080\/13504869500000005","volume":"2","author":"M. Avellaneda","year":"1995","unstructured":"Avellaneda, M., Levy, A., Par\u00e1s, A.: Pricing and hedging derivative securities in markets with uncertain volatilities. Appl. Math. Finance 2, 73\u201388 (1995)","journal-title":"Appl. Math. Finance"},{"key":"83_CR3","series-title":"Lecture Notes in Mathematics","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1007\/BFb0089469","volume-title":"S\u00e9minaire de Probabilit\u00e9s, XIV","author":"J. Az\u00e9ma","year":"1980","unstructured":"Az\u00e9ma, J., Grundy, R.F., Yor, M.: Sur l\u2019int\u00e9grabilit\u00e9 uniforme des martingales continues. In: S\u00e9minaire de Probabilit\u00e9s, XIV. Lecture Notes in Mathematics, vol.\u00a0784, pp.\u00a053\u201361, Springer, Berlin (1980)"},{"key":"83_CR4","doi-asserted-by":"crossref","first-page":"222","DOI":"10.1007\/s00780-006-0001-9","volume":"10","author":"J. Bergenthum","year":"2006","unstructured":"Bergenthum, J., R\u00fcschendorf, L.: Comparison of option prices in semimartingale models. Finance Stoch. 10, 222\u2013249 (2006)","journal-title":"Finance Stoch."},{"key":"83_CR5","doi-asserted-by":"crossref","first-page":"1573","DOI":"10.1111\/j.1540-6261.1996.tb05218.x","volume":"LI","author":"Y. Bergman","year":"1996","unstructured":"Bergman, Y., Grundy, B.D., Wiener, Z.: General properties of option prices. J. Finance LI, 1573\u20131610 (1996)","journal-title":"J. Finance"},{"key":"83_CR6","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1007\/s00780-005-0162-y","volume":"9","author":"A.M.G. Cox","year":"2005","unstructured":"Cox, A.M.G., Hobson, D.G.: Local martingales, bubbles and option prices. Finance Stoch. 9, 477\u2013492 (2005)","journal-title":"Finance Stoch."},{"key":"83_CR7","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/0304-405X(76)90023-4","volume":"3","author":"J.C. Cox","year":"1976","unstructured":"Cox, J.C., Ross, S.A.: The valuation of options for alternative stochastic processes. J. Financ. Econ. 3, 145\u2013166 (1976)","journal-title":"J. Financ. Econ."},{"key":"83_CR8","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1111\/j.1467-9965.2007.00308.x","volume":"17","author":"E. Ekstr\u00f6m","year":"2007","unstructured":"Ekstr\u00f6m, E., Tysk, J.: Properties of option prices in models with jumps. Math. Finance 17, 381\u2013397 (2007)","journal-title":"Math. Finance"},{"key":"83_CR9","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1239\/jap\/1110381368","volume":"42","author":"E. Ekstr\u00f6m","year":"2005","unstructured":"Ekstr\u00f6m, E., Janson, S., Tysk, J.: Super-replication of options on several underlying assets. J. Appl. Probab. 42, 27\u201338 (2005)","journal-title":"J. Appl. Probab."},{"key":"83_CR10","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1111\/1467-9965.00047","volume":"8","author":"N. El Karoui","year":"1998","unstructured":"El Karoui, N., Jeanblanc, M., Shreve, S.E.: Robustness of the Black and Scholes formula. Math. Finance 8, 93\u2013126 (1998)","journal-title":"Math. Finance"},{"key":"83_CR11","first-page":"84","volume":"3","author":"P.S. Hagan","year":"2002","unstructured":"Hagan, P.S., Kumar, D., Lesniewski, A.S., Woodward, D.E.: Managing smile risk. Wilmott Magazine 3, 84\u2013108 (2002)","journal-title":"Wilmott Magazine"},{"key":"83_CR12","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1007\/BF00532643","volume":"68","author":"V. Hajek","year":"1985","unstructured":"Hajek, V.: Mean stochastic comparison of diffusions. Z. Wahrscheinlichkeitstheorie Verw. Geb. 68, 315\u2013329 (1985)","journal-title":"Z. Wahrscheinlichkeitstheorie Verw. Geb."},{"key":"83_CR13","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1111\/j.0960-1627.2005.00210.x","volume":"15","author":"V. Henderson","year":"2005","unstructured":"Henderson, V.: Analytical comparisons of option prices in stochastic volatility models. Math. Finance 15, 49\u201359 (2005)","journal-title":"Math. Finance"},{"key":"83_CR14","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1080\/1045112031000084343","volume":"75","author":"V. Henderson","year":"2003","unstructured":"Henderson, V., Hobson, D.G.: Coupling and option price comparisons in a jump-diffusion model. Stoch. Stoch. Rep. 75, 79\u2013101 (2003)","journal-title":"Stoch. Stoch. Rep."},{"key":"83_CR15","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1007\/s11147-005-1005-x","volume":"8","author":"V. Henderson","year":"2005","unstructured":"Henderson, V., Hobson, D.G., Howison, S.D., Kluge, T.: A comparison of q-optimal option prices in a stochastic volatility model. Rev. Deriv. Res. 8, 5\u201325 (2005)","journal-title":"Rev. Deriv. Res."},{"key":"83_CR16","doi-asserted-by":"crossref","first-page":"326","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"S. Heston","year":"1993","unstructured":"Heston, S.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6, 326\u2013343 (1993)","journal-title":"Rev. Financ. Stud."},{"key":"83_CR17","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1093\/rfs\/hhl005","volume":"20","author":"S.L. Heston","year":"2007","unstructured":"Heston, S.L., Loewenstein, M., Willard, G.A.: Options and bubbles. Rev. Financ. Stud. 20, 359\u2013390 (2007)","journal-title":"Rev. Financ. Stud."},{"key":"83_CR18","doi-asserted-by":"crossref","first-page":"193","DOI":"10.1214\/aoap\/1027961040","volume":"8","author":"D.G. Hobson","year":"1998","unstructured":"Hobson, D.G.: Volatility mis-specification, option pricing and super-replication via coupling. Ann. Appl. Probab. 8, 193\u2013205 (1998)","journal-title":"Ann. Appl. Probab."},{"key":"83_CR19","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1111\/1467-9965.00043","volume":"8","author":"D.G. Hobson","year":"1998","unstructured":"Hobson, D.G., Rogers, L.C.G.: Complete models with stochastic volatility. Math. Finance 8, 27\u201348 (1998)","journal-title":"Math. Finance"},{"key":"83_CR20","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"XLII","author":"J. Hull","year":"1987","unstructured":"Hull, J., White, A.: The pricing of options on assets with stochastic volatilities. J. Finance XLII, 281\u2013299 (1987)","journal-title":"J. Finance"},{"key":"83_CR21","first-page":"29","volume":"3","author":"J. Hull","year":"1988","unstructured":"Hull, J., White, A.: An analysis of the bias in option pricing caused by a stochastic volatility. Adv. Futures Options Res. 3, 29\u201361 (1988)","journal-title":"Adv. Futures Options Res."},{"key":"83_CR22","doi-asserted-by":"crossref","first-page":"182","DOI":"10.1016\/j.jde.2004.07.016","volume":"206","author":"S. Janson","year":"2004","unstructured":"Janson, S., Tysk, J.: Preservation of convexity of solutions to parabolic equations. J. Differ. Equ. 206, 182\u2013226 (2004)","journal-title":"J. Differ. Equ."},{"key":"83_CR23","unstructured":"Jarrow, R., Protter, P., Shimbo, K.: Asset price bubbles in incomplete markets. Johnson School Research Paper Series 03\/07 (2007). http:\/\/ssrn.com\/abstract=1019013"},{"key":"83_CR24","doi-asserted-by":"crossref","first-page":"143","DOI":"10.2307\/2330709","volume":"22","author":"H. Johnson","year":"1987","unstructured":"Johnson, H., Shanno, D.: Option pricing when the variance is changing. J. Financ. Quant. Anal. 22, 143\u2013151 (1987)","journal-title":"J. Financ. Quant. Anal."},{"key":"83_CR25","volume-title":"Brownian Motion and Stochastic Calculus","author":"I. Karatzas","year":"1987","unstructured":"Karatzas, I., Shreve, S.E.: Brownian Motion and Stochastic Calculus. Springer, New York (1987)"},{"key":"83_CR26","volume-title":"Option Valuation under Stochastic Volatility","author":"A.L. Lewis","year":"2000","unstructured":"Lewis, A.L.: Option Valuation under Stochastic Volatility. Finance Press, Newport Beach (2000)"},{"key":"83_CR27","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1080\/13504869500000007","volume":"2","author":"T.J. Lyons","year":"1995","unstructured":"Lyons, T.J.: Uncertain volatility and the risk-free synthesis of derivatives. Appl. Math. Finance 2, 117\u2013133 (1995)","journal-title":"Appl. Math. Finance"},{"key":"83_CR28","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1016\/0304-4076(90)90100-8","volume":"45","author":"A. Melino","year":"1990","unstructured":"Melino, A., Turnbull, S.M.: Pricing foreign currency options with stochastic volatility. J. Econom. 45, 239\u2013265 (1990)","journal-title":"J. Econom."},{"key":"83_CR29","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-06400-9","volume-title":"Continuous Martingales and Brownian Motion","author":"D. Revuz","year":"1999","unstructured":"Revuz, D., Yor, M.: Continuous Martingales and Brownian Motion, 3rd edn. Springer, Berlin (1999)","edition":"3"},{"key":"83_CR30","doi-asserted-by":"crossref","unstructured":"Rogers, L.C.G., Williams, D.: Diffusions, Markov Processes and Martingales: It\u00f4 Calculus. Cambridge (2000)","DOI":"10.1017\/CBO9781107590120"},{"key":"83_CR31","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1111\/1467-9965.00038","volume":"7","author":"M. Romano","year":"1997","unstructured":"Romano, M., Touzi, N.: Contingent claims and market completeness in a stochastic volatility model. Math. Finance 7, 399\u2013410 (1997)","journal-title":"Math. Finance"},{"key":"83_CR32","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1540-6261.1983.tb03636.x","volume":"XXXVIII","author":"M. Rubinstein","year":"1983","unstructured":"Rubinstein, M.: Displaced diffusion option pricing. J. Finance XXXVIII, 213\u2013217 (1983)","journal-title":"J. Finance"},{"key":"83_CR33","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","volume":"22","author":"L.O. Scott","year":"1987","unstructured":"Scott, L.O.: Option pricing when the variance changes randomly: theory, estimation, and an application. J. Financ. Quant. Anal. 22, 419\u2013438 (1987)","journal-title":"J. Financ. Quant. Anal."},{"key":"83_CR34","doi-asserted-by":"crossref","first-page":"256","DOI":"10.1239\/aap\/1035228003","volume":"30","author":"C. Sin","year":"1998","unstructured":"Sin, C.: Complications with stochastic volatility models. Adv. Appl. Probab. 30, 256\u2013268 (1998)","journal-title":"Adv. Appl. Probab."},{"key":"83_CR35","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","volume":"19","author":"J.B. Wiggins","year":"1987","unstructured":"Wiggins, J.B.: Option values under stochastic volatility. J. Financ. Econ. 19, 351\u2013372 (1987)","journal-title":"J. Financ. Econ."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-008-0083-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-008-0083-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-008-0083-7","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T06:29:13Z","timestamp":1559111353000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-008-0083-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,11,20]]},"references-count":35,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2010,1]]}},"alternative-id":["83"],"URL":"https:\/\/doi.org\/10.1007\/s00780-008-0083-7","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,11,20]]}}}