Arbitrage-free market models for option prices: the multi-strike case

DOI10.1007/s00780-008-0068-6zbMath1199.91218MaRDI QIDQ2271718

Martin Schweizer, Johannes Wissel

Publication date: 8 August 2009

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

Full work available at URL: http://hdl.handle.net/20.500.11850/4672

zbMATH Keywords

market model; implied volatility; existence result; option prices; static arbitrage; drift restrictions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G20: Derivative securities (option pricing, hedging, etc.)

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