On the arbitrage price of European call options

DOI10.1080/15326349.2016.1200473MaRDI QIDQ2976121zbMATH OpenOpenAlexFDO

Authors Philip Ernst

Publication date 13 April 2017

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2016.1200473

zbMATH Keywords

martingalessupermartingalesEuropean call optionsarbitrage price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Exercising control when confronted by a (Brownian) spider
• Option pricing: A simplified approach
• Spatiotemporal prediction for log-Gaussian Cox processes
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic finance. An introduction in discrete time
• The pricing of options and corporate liabilities

Cited in

(3)

• Arbitrage-free interpolation of call option prices
• ARBITRAGE-FREE OPTION PRICING MODELS
• The value of foresight

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