Option returns

DOI10.3934/FMF.2023007MaRDI QIDQ6134137zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Wim Schoutens, K.-H. Wang

Publication date 25 July 2023

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2023007

zbMATH Keywords

backward stochastic partial integro-differential equationsbilateral gamma processmeasure distortionsrisk chargesrisk exposures

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Integro-partial differential equations (45K05) Martingales and classical analysis (60G46) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Bilateral gamma distributions and processes in financial mathematics
• Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
• High dimensional Markovian trading of a single stock
• Lower and upper pricing of financial assets
• Markets as a counterparty: an introduction to conic finance
• Measuring and monitoring the efficiency of markets
• Nonlinear valuation and non-Gaussian risks in finance
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• The Variance Gamma Process and Option Pricing
• Two price economies in continuous time
• TWO PROCESSES FOR TWO PRICES

Cited in

(3)

• Reversal of Monday returns
• Bid-ask bounds for option prices: the two-tail distortion model
• Implied dividend bounds in option prices: anatomy of two markets

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