Expensive martingales

DOI10.1080/14697680600668071zbMath1136.91417OpenAlexW4256347648MaRDI QIDQ5484645

Hans Buehler

Publication date: 21 August 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600668071

zbMATH Keywords

arbitragemarginal distributiontransition kernelforward start options

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (13)

THE RANGE OF TRADED OPTION PRICES ⋮ Dynamics of state price densities ⋮ Consistent variance curve models ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Characteristic functions and option valuation in a Markov chain market ⋮ A PDE approach to jump-diffusions ⋮ Robust pricing and hedging of double no-touch options ⋮ A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS ⋮ Tangent Lévy market models ⋮ Local volatility dynamic models ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS ⋮ Arbitrage and duality in nondominated discrete-time models

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Moment explosions in stochastic volatility models
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Calibrating volatility surfaces via relative-entropy minimization
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The Existence of Probability Measures with Given Marginals

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