Comparison of option prices in semimartingale models

DOI10.1007/s00780-006-0001-9zbMath1101.91028OpenAlexW1988811595MaRDI QIDQ854274

Jan Bergenthum, Ludger Rüschendorf

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0001-9

zbMATH Keywords

contingent claim valuationprice orderingspropagation on convexitysemimartingale model

Mathematics Subject Classification ID

Related Items (17)

Comparison Results for GARCH Processes ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ Convexity preserving jump-diffusion models for option pricing ⋮ Comparison of semimartingales and Lévy processes ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Comparison results for stochastic volatility models via coupling ⋮ Convexity theory for the term structure equation ⋮ Convex ordering criteria for Lévy processes ⋮ Convex comparison inequalities for non-Markovian stochastic integrals ⋮ Convex ordering for random vectors using predictable representation ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ Stochastic ordering by \(g\)-expectations ⋮ A note on convex ordering for stable stochastic integrals ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus ⋮ \( G\)-expectation approach to stochastic ordering ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach

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