Comparison of option prices in semimartingale models
From MaRDI portal
Publication:854274
DOI10.1007/s00780-006-0001-9zbMath1101.91028OpenAlexW1988811595MaRDI QIDQ854274
Jan Bergenthum, Ludger Rüschendorf
Publication date: 8 December 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0001-9
Related Items
Comparison Results for GARCH Processes ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ Convexity preserving jump-diffusion models for option pricing ⋮ Comparison of semimartingales and Lévy processes ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Comparison results for stochastic volatility models via coupling ⋮ Convexity theory for the term structure equation ⋮ Convex ordering criteria for Lévy processes ⋮ Convex comparison inequalities for non-Markovian stochastic integrals ⋮ Convex ordering for random vectors using predictable representation ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ Stochastic ordering by \(g\)-expectations ⋮ A note on convex ordering for stable stochastic integrals ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus ⋮ \( G\)-expectation approach to stochastic ordering ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Higher-order implicit strong numerical schemes for stochastic differential equations
- A characterization of random variables with minimum \(L^ 2\)-distance
- Propagation of convexity by Markovian and martingalian semigroups
- Volatility misspecification, option pricing and superreplication via coupling
- Pricing contingent claims on stocks driven by Lévy processes
- On the range of options prices
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Incompleteness of markets driven by a mixed diffusion
- Stochastic orders in dynamic reinsurance markets
- Optimal portfolios for logarithmic utility.
- Preservation of convexity of solutions to parabolic equations
- The variance-optimal martingale measure for continuous processes
- Approximation pricing and the variance-optimal martingale measure
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Bounds on European Option Prices under Stochastic Volatility
- Robustness of the Black and Scholes Formula
- Option Pricing Under Incompleteness and Stochastic Volatility
- Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
- Coupling and option price comparisons in a jump-diffusion model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization