Option pricing in the presence of random arbitrage return

DOI10.1080/00207160902814626zbMATH Open1163.91387OpenAlexW2164642770MaRDI QIDQ3636741FDOQ3636741

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• The Mathematics of Financial Derivatives
• Stochastic volatility, smile & asymptotics

Cited In (8)

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

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