scientific article; zbMATH DE number 6444283

MaRDI QIDQ5254656zbMATHFDO

Authors Sergiĭ Pidkuĭko, Mykola Bab'Yak

Publication date 9 June 2015

zbMATH Keywords

asset-pricing modelderivative securityno-arbitrage price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On price of derivative in trinomial asset-pricing model
• Arbitrage-free pricing of derivatives in nonlinear market models
• No-arbitrage interpolation of the option price function and its reformulation
• A model-free no-arbitrage price bound for variance options
• An interval of no-arbitrage prices in financial markets with volatility uncertainty
• No-arbitrage bounds on two one-touch options
• Pricing by hedging and no-arbitrage beyond semimartingales
• A remark on the set of arbitrage-free prices in a multi-period model
• Weak time-derivatives and no-arbitrage pricing
• scientific article; zbMATH DE number 1342033

Cited in

(2)

• On price of derivative in trinomial asset-pricing model
• Comparison of equivalent martingale measures in one-period trinomial tree model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5254656)