Building a consistent pricing model from observed option prices

MaRDI QIDQ2725581zbMATH OpenFDO

Authors Jean-Paul Laurent, Dietmar P. J. Leisen

Publication date 13 January 2002

zbMATH Keywords

cross-entropyMarkov chainmodel riskno-arbitrage

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(6)

• Local volatility dynamic models
• Static arbitrage bounds on basket option prices
• Detection of arbitrage opportunities in multi-asset derivatives markets
• Robust pricing and hedging of double no-touch options
• A simple time-consistent model for the forward density process
• SDP relaxation of arbitrage pricing bounds based on option prices and moments

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