Two-dimensional risk-neutral valuation relationships for the pricing of options
From MaRDI portal
Publication:2466421
DOI10.1007/s11147-007-9009-3zbMath1154.91441OpenAlexW2143946245MaRDI QIDQ2466421
James Huang, Richard C. Stapleton, Guenter Franke
Publication date: 14 January 2008
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116603
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? ⋮ Tractable hedging with additional hedge instruments ⋮ Asset pricing under information with stochastic volatility ⋮ Forward-neutral valuation relationships for options on zero coupon bonds
Cites Work
- The Pricing of Options and Corporate Liabilities
- Heterogeneity and option pricing
- Tighter option bounds from multiple exercise prices
- An extended set of risk neutral valuation relationships for the pricing of contingent claims
- Nonparametric risk management and implied risk aversion
- When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
- Option pricing: A simplified approach
This page was built for publication: Two-dimensional risk-neutral valuation relationships for the pricing of options