Arbitrage-free market models for option prices: the multi-strike case
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Publication:2271718
DOI10.1007/s00780-008-0068-6zbMath1199.91218MaRDI QIDQ2271718
Martin Schweizer, Johannes Wissel
Publication date: 8 August 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/4672
market model; implied volatility; existence result; option prices; static arbitrage; drift restrictions
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G20: Derivative securities (option pricing, hedging, etc.)
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