Expensive martingales

DOI10.1080/14697680600668071MaRDI QIDQ5484645zbMATH OpenOpenAlexFDO

Authors 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

marginal distributionarbitragetransition kernelforward start options

Mathematics Subject Classification ID

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

Recommendations

• Sparse calibrations of contingent claims
• scientific article; zbMATH DE number 1897410
• Mean correcting martingale measure for exponential semimartingale market models
• Consistent upper price bounds for exotic options
• Calculation of the high and low prices of European-type options

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Calibrating volatility surfaces via relative-entropy minimization
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Martingales and stochastic integrals in the theory of continuous trading
• Moment explosions in stochastic volatility models
• The Existence of Probability Measures with Given Marginals
• The fundamental theorem of asset pricing for unbounded stochastic processes

Cited in

(14)

• Robust pricing and hedging of double no-touch options
• Consistent variance curve models
• A PDE approach to jump-diffusions
• Tangent Lévy market models
• Model-independent no-arbitrage conditions on American put options
• Dynamics of state price densities
• A simple time-consistent model for the forward density process
• Arbitrage and duality in nondominated discrete-time models
• Mean correcting martingale measure for exponential semimartingale market models
• Detection of arbitrage opportunities in multi-asset derivatives markets
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Local volatility dynamic models
• THE RANGE OF TRADED OPTION PRICES
• Characteristic functions and option valuation in a Markov chain market

This page was built for publication: Expensive martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5484645)