TWO PROCESSES FOR TWO PRICES

DOI10.1142/S0219024914500058MaRDI QIDQ5411989zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Wim Schoutens

Publication date 25 April 2014

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024914500058

zbMATH Keywords

butterfly spreadcalendar spreadcall spreadput-call paritySato processstraddles and stranglesvariance gammavariance swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A two price theory of financial equilibrium with risk management implications
• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• scientific article; zbMATH DE number 1724296 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Option pricing using variance gamma Markov chains
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Structured products equilibria in conic two price markets
• THE RANGE OF TRADED OPTION PRICES
• The Variance Gamma Process and Option Pricing

Cited in

(4)

• Asset pricing theory for two price economies
• Conic portfolio theory
• Two price economies in continuous time
• Option returns

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