Market-conform valuation of options.

zbMATH Open1116.91044MaRDI QIDQ819979FDOQ819979

Authors: Tobias Herwig 

Publication date: 5 April 2006

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

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zbMATH Keywords

derivativesbinomial processarbitrage free implied trees

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (4)

• Market-Consistent Actuarial Valuation
• Adiabaticity conditions for volatility smile in Black-Scholes pricing model
• Title not available (Why is that?)
• Markets that don't replicate any option.

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