Valuation functionals and static no arbitrage option pricing formulas

MaRDI QIDQ5746663zbMATH OpenFDO

Authors Intae Jeon, Cheol-Ung Park

Publication date 7 February 2014

zbMATH Keywords

Carr-Geman-Madan pricing formulacoherent risk measureFiglewski's option pricing formulaincomplete marketstatic no-arbitrage pricingvaluation functionalvolatility smile

Mathematics Subject Classification ID

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

Recommendations

• ARBITRAGE-FREE OPTION PRICING MODELS
• No-arbitrage interpolation of the option price function and its reformulation
• Arbitrage-free market models for option prices: the multi-strike case
• Arbitrage-free SVI volatility surfaces
• scientific article; zbMATH DE number 1222796

Cited in

(3)

• An arbitrage-free approach to quasi-option value
• Noncommutative valuation of options
• Is there an informationally passive benchmark for option pricing incorporating maturity?

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