Market-conform valuation of options.

MaRDI QIDQ819979zbMATH OpenFDO

Authors Tobias Herwig

Publication date 5 April 2006

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

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)

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(4)

• Market-Consistent Actuarial Valuation
• Adiabaticity conditions for volatility smile in Black-Scholes pricing model
• Markets that don't replicate any option.
• scientific article; zbMATH DE number 6686689 (Why is no real title available?)

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