Arbitrage-free market models for option prices: the multi-strike case
Year of publication: |
2008
|
---|---|
Authors: | Schweizer, Martin ; Wissel, Johannes |
Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 4, p. 469-505
|
Publisher: |
Springer |
Subject: | Option prices | Market model | Implied volatility | Static arbitrage | Dynamic arbitrage | Drift restrictions | Existence result |
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