Arbitrage-free option prices on global markets

DOI10.1007/S10958-009-9439-6zbMATH Open1177.91127OpenAlexW2082468604MaRDI QIDQ1037009FDOQ1037009

Authors: Yana Belopolskaya, S. R. Filimonova 

Publication date: 13 November 2009

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-009-9439-6

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zbMATH Keywords

option pricinglocal volatilitystochastic volatilityATMITMOTM

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

Cited In (4)

• Arbitrage-free market models for option prices: the multi-strike case
• Arbitrage-free interpolation of call option prices
• On arbitrage-free pricing in numeraire-free markets: with applications to forex and cryptocurrency
• ARBITRAGE-FREE OPTION PRICING MODELS

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