Option pricing in incomplete markets

DOI10.1016/J.AML.2013.05.002MaRDI QIDQ2339079zbMATH OpenOpenAlexFDO

Authors Qiang Zhang, Jiguang Han

Publication date 30 March 2015

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2013.05.002

zbMATH Keywords

option pricingstochastic volatilityincomplete marketsexponential utility functionHeston model

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Option valuation and hedging with basis risk
• PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
• The pricing of options and corporate liabilities

Cited in

(23)

• A Note on Market Completeness with American Put Options
• Markets that don't replicate any option.
• An approximation pricing algorithm in an incomplete market: a differential geometric approach
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• Price bias and common practice in option pricing
• The inverse problem of option pricing
• Option Pricing Under Incompleteness and Stochastic Volatility
• Option pricing in incomplete discrete markets
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• Interest rate options valuation under incomplete information
• An additivity of maximum expectations and its applications
• Pricing European options by numerical replication: quadratic programming with constraints
• A numerical study of the utility-indifference approach for pricing American options
• Optimal investment with derivatives and pricing in an incomplete market
• scientific article; zbMATH DE number 1254193 (Why is no real title available?)
• Market completion using options
• Option market making under inventory risk
• Option pricing by mathematical programming†
• Pricing derivatives of American and game type in incomplete markets
• Linear approximation of option pricing in incomplete market
• Pricing early exercise contracts in incomplete markets
• An Approximate Solution for Optimal Portfolio in Incomplete Markets
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets

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