Option pricing in a world with arbitrage

MaRDI QIDQ2752030zbMATH OpenFDO

Authors Xin Guo, Larry Shepp

Publication date 21 October 2001

zbMATH Keywords

arbitrageBlack-Scholesinformationoption pricing

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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• A model for stock price fluctuations based on information

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