On certain representations of pricing functionals

DOI10.1007/S10436-024-00438-5MaRDI QIDQ6536771zbMATH OpenFDO

Authors Carlo Marinelli

Publication date 13 May 2024

Published in Annals of Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10436-024-00438-5

zbMATH Keywords

Breeden-Litzenberger formulaconvex payoffsdistributions (generalized functions)option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• scientific article; zbMATH DE number 2030292
• The inverse volatility problem for European options
• The inverse problem of option pricing
• The inverse volatility problem for American options
• Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component

Cites work

• A functional analysis approach to the static replication of European options
• Convexity. An analytic viewpoint
• Distributions
• Fitting local volatility. Analytic and numerical approaches in Black-Scholes and local variance gamma models
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 3240665 (Why is no real title available?)
• Measure theory
• Nonparametric estimates of option prices via Hermite basis functions
• Note on multidimensional Breeden-Litzenberger representation for state price densities
• On difference convexity of locally Lipschitz functions

Cited in

(1)

• Spanning multi-asset payoffs with ReLUs

This page was built for publication: On certain representations of pricing functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6536771)