Option pricing in a world with arbitrage

MaRDI QIDQ2752030zbMATH OpenFDO

Authors Xin Guo, Larry Shepp

Publication date 21 October 2001

zbMATH Keywords

informationoption pricingBlack-Scholesarbitrage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Recommendations

• Information and option pricings
• scientific article; zbMATH DE number 1897416
• Option pricing in the presence of random arbitrage return
• ARBITRAGE-FREE OPTION PRICING MODELS
• Option pricing: A simplified approach

Cited in

(7)

• Information and option pricings
• Option pricing in the presence of random arbitrage return
• ARBITRAGE-FREE OPTION PRICING MODELS
• Probing option prices for information
• A model for stock price fluctuations based on information
• Option pricing under short-lived arbitrage: theory and tests
• Resonance phenomena in option pricing with arbitrage

This page was built for publication: Option pricing in a world with arbitrage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2752030)