\documentstyle[12pt]{article}

\begin{document}

\title{A comparison of option prices in a stochastic volatility model}




\author{David Hobson\\
  University of Bath}

\date{Computational Finance Seminar, December 9}

\maketitle

In an incomplete market there are many equivalent martingale measures
and many different ways of pricing options. In this talk we consider
option pricing in a stochastic volatility model which is a
prototypical incomplete market.

The emphasis will be on pricing under $q$-optimal measures. The
$q$-optimal measure is the martingale measure which is closest (in the
sense of a $q$th moment) to the physical measure. We will be
interested in characterizing this measure, and in describing the way
in which the resulting option prices depend on $q$.

\end{document}

