Option pricing in a world with arbitrage

zbMATH Open1017.91044MaRDI QIDQ2752030FDOQ2752030

Authors: Xin Guo, Larry Shepp 

Publication date: 21 October 2001

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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)

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

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