In this paper we consider the range of prices consistent with no arbitrage for European options in a general stochastic volatility model. We give conditions under which infimum respectively the supremum of the possible option prices are equal to the intrinsic value of the option or to the...

In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out a simulation study that determines the...