Alternatives to classical option pricing

DOI10.1007/S10479-024-06213-ZMaRDI QIDQ7008509zbMATH OpenFDO

Authors W. Brent Lindquist, Svetlozar T. Rachev

Publication date 21 March 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06213-Z

zbMATH Keywords

deflated cumulative return processfinancial markets without riskless assetoption pricingperpetual derivativeshadow riskless rate

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach*
• Encyclopedia of quantitative finance. 4 Volumes.
• Equilibrium in CAPM without a Riskless Asset
• European option pricing formula in risk-averse markets based on the risk measure of VaR
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Existence Theorems in the Capital Asset Pricing Model
• Financial markets with no riskless (safe) asset
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Mean-variance hedging for stochastic volatility models
• Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
• No arbitrage without semimartingales
• On a non-classical invariance principle
• Option pricing in markets with informed traders
• Safe asset shortages and asset price bubbles
• Single-Period Mean–Variance Analysis in a Changing World
• Stochastic calculus for finance. I: The binomial asset pricing model.

This page was built for publication: Alternatives to classical option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7008509)