Expensive martingales

DOI10.1080/14697680600668071zbMATH Open1136.91417OpenAlexW4256347648MaRDI QIDQ5484645FDOQ5484645

Hans Buehler

Publication date: 21 August 2006

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

Full work available at URL: https://doi.org/10.1080/14697680600668071

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zbMATH Keywords

marginal distributionarbitragetransition kernelforward start options

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The Existence of Probability Measures with Given Marginals
• Martingales and stochastic integrals in the theory of continuous trading
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Moment explosions in stochastic volatility models
• Calibrating volatility surfaces via relative-entropy minimization

Cited In (13)

• Robust pricing and hedging of double no-touch options
• Consistent variance curve models
• A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS
• A PDE approach to jump-diffusions
• Tangent Lévy market models
• Model-independent no-arbitrage conditions on American put options
• Dynamics of state price densities
• Arbitrage and duality in nondominated discrete-time models
• Detection of arbitrage opportunities in multi-asset derivatives markets
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Local volatility dynamic models
• THE RANGE OF TRADED OPTION PRICES
• Characteristic functions and option valuation in a Markov chain market

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