Total positivity and relative convexity of option prices

DOI10.3934/FMF.2023001MaRDI QIDQ6105375zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Dan Pirjol

Publication date 26 June 2023

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2023001

zbMATH Keywords

implied volatility skewLévy processesoption pricesrelative convexitytotal positivity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• Trading TP ₂ option violations
• When are option prices \(\mathrm{TP}_2\)?

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