Option pricing in the presence of random arbitrage return

DOI10.1080/00207160902814626MaRDI QIDQ3636741zbMATH OpenOpenAlexFDO

Authors J. Choi, Max Gunzburger

Publication date 29 June 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160902814626

zbMATH Keywords

option pricingfinite element methodsstochastic PDEsrandom arbitrage return

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cites work

• scientific article; zbMATH DE number 3596197 (Why is no real title available?)
• Stochastic volatility, smile & asymptotics
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(8)

• Option pricing in a world with arbitrage
• A pricing option approach based on backward stochastic differential equation theory
• On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
• Markets with random lifetimes and private values: mean reversion and option to trade
• Option pricing under short-lived arbitrage: theory and tests
• Using relative returns to accommodate fat-tailed innovations in processes and option pricing
• CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE
• Resonance phenomena in option pricing with arbitrage

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