scientific article; zbMATH DE number 5287151

zbMATH Open1211.91129MaRDI QIDQ3504635FDOQ3504635

Rama Cont, Sara Biagini

Publication date: 11 June 2008

Title of this publication is not available (Why is that?)

zbMATH Keywords

martingalesfundamental theorem of asset pricingpricing of contingent claimsmodel-free arbitrage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (7)

• Implications of parameter uncertainty on option prices
• Robust pricing and hedging of double no-touch options
• A conditional version of the second fundamental theorem of asset pricing in discrete time
• Arbitrage and duality in nondominated discrete-time models
• Put-call parities, absence of arbitrage opportunities, and nonlinear pricing rules
• Additive portfolio improvement and utility-efficient payoffs
• Parametric Estimation of Risk Neutral Density Functions

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