ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS

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Portfolios and risk premia for the long run. (2012, unknown): “Hobson (2004) (in the case p > 1) and Henderson (2005) .”
Minimal Entropy Martingale Measure (2010, unknown): “Apart from the above, there are a number of other areas where the minimal entropy martingale measure has come up; these include – option price comparisons ([7], [11], [32], [33], [34], [55]); – generalisations or connections to other optimal ELMMs ([2], [14], [15], [66]); see also eqf04/015 [minimal”
Utility indifference pricing : an overview (2009, background): “The beginnings of such a study are to be found in Henderson [35] and Henderson et al [40].”
On changes of measure in stochastic volatility models (2006, background): “See, for example, Henderson [17] for some comparisons and extensive references.”
A stochastic volatility model and optimal portfolio selection (2013, unknown): “For example, Henderson (2005a) studies option prices under various martingale measures, e.g. the minimal martingale, q-optimal, minimal entropy measures in an SV model.”