Risk-neutral compatibility with option prices
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Publication:2430260
DOI10.1007/s00780-009-0109-9zbMath1224.91156OpenAlexW2090335931MaRDI QIDQ2430260
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0109-9
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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Cites Work
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