On the arbitrage price of European call options

DOI10.1080/15326349.2016.1200473zbMATH Open1378.91119OpenAlexW2524268023MaRDI QIDQ2976121FDOQ2976121

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

Recommendations

• ARBITRAGE-FREE OPTION PRICING MODELS
• THE RANGE OF TRADED OPTION PRICES
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• scientific article; zbMATH DE number 5855922
• On a generalized Cox-Ross-Rubinstein option market model

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)

Cites Work

• The pricing of options and corporate liabilities
• Arbitrage Theory in Continuous Time
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Title not available (Why is that?)
• Stochastic finance. An introduction in discrete time
• Option pricing: A simplified approach
• Spatiotemporal prediction for log-Gaussian Cox processes
• Exercising control when confronted by a (Brownian) spider

Cited In (3)

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

This page was built for publication: On the arbitrage price of European call options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976121)