Option pricing under short-lived arbitrage: theory and tests

DOI10.1080/14697688.2017.1301677zbMath1402.91787OpenAlexW3123361227MaRDI QIDQ4555170

Jimmy E. Hilliard, Jitka Hilliard

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1301677

zbMATH Keywords

option pricingarbitragestochastic interest ratesOrnstein-Uhlenbeck bridgeimplied parameters

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Bitcoin: jumps, convenience yields, and option prices ⋮ An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects ⋮ Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A general version of the fundamental theorem of asset pricing
• The path integral approach to financial modeling and options pricing
• Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
• Option pricing when underlying stock returns are discontinuous
• On Distributions of Certain Wiener Functionals

This page was built for publication: Option pricing under short-lived arbitrage: theory and tests