The range of derivative's arbitrage prices in a general incomplete market

MaRDI QIDQ3565368zbMATH OpenFDO

Authors Silvia Romagnoli

Publication date 3 June 2010

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Incompleteness of markets driven by a mixed diffusion
• General Arbitrage Pricing Model: I – Probability Approach
• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Corrections to the prices of derivatives due to market incompleteness
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

Cited in

(2)

• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Incompleteness of markets driven by a mixed diffusion

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