Options prices in incomplete markets
DOI10.1051/PROC/201756072zbMATH Open1407.91251OpenAlexW2753926129MaRDI QIDQ4606385FDOQ4606385
Authors: Jean Jacod, Philip Protter 
Publication date: 7 March 2018
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/proc/201756072
Recommendations
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)
Cites Work
- Title not available (Why is that?)
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Title not available (Why is that?)
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- The mathematics of arbitrage
- Calcul stochastique et problèmes de martingales
- Bounds on European option prices under stochastic volatility
- On the minimal entropy martingale measure.
- Risk-neutral compatibility with option prices
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Local martingales, bubbles and option prices
- Asset price bubbles in incomplete markets
- Shifting martingale measures and the birth of a bubble as a submartingale
- On the range of options prices
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- The European options hedge perfectly in a Poisson-Gaussian stock market model
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
- Limit theorems for prices of options written on semi-Markov processes
- A Note on Market Completeness with American Put Options
- Indifference valuation in incomplete binomial models
- 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
- Title not available (Why is that?)
- Markets that don't replicate any option.
- Incompleteness of markets driven by a mixed diffusion
- Market completion using options
This page was built for publication: Options prices in incomplete markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4606385)
