Option prices under generalized pricing kernels

DOI10.1007/S11147-005-3852-XMaRDI QIDQ812143zbMATH OpenOpenAlexFDO

Authors Bertram Düring, Erik Lüders

Publication date 23 January 2006

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-005-3852-x

zbMATH Keywords

option pricingimplied volatilityfinite differencespartial differential equationpricing kernel

Mathematics Subject Classification ID

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

Recommendations

• Option pricing for a logstable asset price model
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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds
• Heterogeneity and option pricing
• Impact of divergent consumer confidence on option prices
• Nonparametric risk management and implied risk aversion
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel

Cited in

(9)

• Equilibrium preference free pricing of derivatives under the generalized beta distributions
• scientific article; zbMATH DE number 7246316 (Why is no real title available?)
• Option pricing using a computational method based on reproducing kernel
• A general theory of option pricing
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
• Asset pricing under information with stochastic volatility
• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
• Instability of financial markets and preference heterogeneity

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