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~person:"Flåm, Sjur"
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Arbitrage
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Emerging market
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Martingale restriction
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Non-parametric
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Option pricing
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Risk-neutral density
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arbitrage
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asset pricing
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bid-ask intervals
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Flåm, Sjur
Han, Qian
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Option Pricing by Mathematical Programming
Flåm, Sjur
-
2007
here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at
arbitrage
or …
Persistent link: https://www.econbiz.de/10013208513
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2
Non-parametric Tests for the Martingale Restriction: A New Approach
Guo, Biao
;
Han, Qian
;
Ryu, Doojin
-
2013
differences between the option-implied and market observed prices. Our results strongly suggest that there exist
arbitrage
…
Persistent link: https://www.econbiz.de/10010892140
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