Risk-neutral compatibility with option prices

DOI10.1007/s00780-009-0109-9zbMath1224.91156OpenAlexW2090335931MaRDI QIDQ2430260

Jean Jacod, Philip E. Protter

Publication date: 6 April 2011

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

Full work available at URL: https://doi.org/10.1007/s00780-009-0109-9

zbMATH Keywords

equity pricingoption pricesequivalent martingale measuresrisk-neutral measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (36)

RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS ⋮ A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS ⋮ Relative asset price bubbles ⋮ A Note on Market Completeness with American Put Options ⋮ Asset price bubbles: invariance theorems ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Stackelberg reinsurance chain under model ambiguity ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Asymptotic analysis of a Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for insurance under model ambiguity: general divergence ⋮ Options Prices in Incomplete Markets ⋮ Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Dynamic complex hedging in additive markets ⋮ On the calibration of local jump-diffusion asset price models ⋮ Optimal investment and price dependence in a semi-static market ⋮ ASSET PRICE BUBBLES IN INCOMPLETE MARKETS ⋮ On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility ⋮ POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Convenience yields ⋮ Tangent Lévy market models ⋮ Foreign currency bubbles ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Local volatility dynamic models ⋮ Symmetric martingales and symmetric smiles ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION ⋮ THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ A Mathematical Theory of Financial Bubbles ⋮ Nonparametric estimation for stochastic volatility models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Towards a general theory of bond markets
• Lévy term structure models: no-arbitrage and completeness
• Completion of a Lévy market by power-jump assets
• A partial introduction to financial asset pricing theory.
• Arbitrage-free market models for option prices: the multi-strike case
• Local volatility dynamic models
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Term Structure Models Driven by General Levy Processes
• Complete–market models of stochastic volatility
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Market completion using options
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Bond Market Structure in the Presence of Marked Point Processes
• A market model for stochastic implied volatility

This page was built for publication: Risk-neutral compatibility with option prices