Options prices in incomplete markets

DOI10.1051/PROC/201756072MaRDI QIDQ4606385zbMATH OpenOpenAlexFDO

Authors Jean Jacod, Philip Protter

Publication date 7 March 2018

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1051/proc/201756072

zbMATH Keywords

convex functionBrownian motionincomplete marketsEuropean call optionprice processpay-off function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 5497555 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
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• On the minimal entropy martingale measure.
• On the range of options prices
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Risk-neutral compatibility with option prices
• Shifting martingale measures and the birth of a bubble as a submartingale
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• The European options hedge perfectly in a Poisson-Gaussian stock market model
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The mathematics of arbitrage
• The minimal entropy martingale measure and the valuation problem in incomplete markets

Cited in

(21)

• Risk neutral valuations based on partial probabilistic information
• On information costs, short sales and the pricing of extendible options, steps and Parisian options
• Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
• Price bias and common practice in option pricing
• Option pricing in incomplete markets
• Understanding option prices
• Some possible stock price distributions under incompleteness of the market
• Options in markets with unknown dynamics
• Indifference valuation in incomplete binomial models
• Limit theorems for prices of options written on semi-Markov processes
• A Note on Market Completeness with American Put Options
• Filtration shrinkage, the structure of deflators, and failure of market completeness
• Option pricing in incomplete discrete markets
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• Non-uniqueness of option prices
• Option pricing with a general marked point process.
• Risk-neutral compatibility with option prices
• Markets that don't replicate any option.
• scientific article; zbMATH DE number 1897411 (Why is no real title available?)
• Incompleteness of markets driven by a mixed diffusion
• Market completion using options

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