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The mathematics of arbitrage
Delbaen, Freddy; Schachermayer, Walter - 2006
Persistent link: https://www.econbiz.de/10002123958
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The Black-Scholes Equation in Presence of Arbitrage
Farinelli, Simone - 2019
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation.First, for a generic market dynamics given by a multidimensional Itô's process we specify and prove the equivalence between (NFLVR) and expected...
Persistent link: https://www.econbiz.de/10012902526
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Contreras, Mauricio; Pellicer, Rely; Santiagos, Daniel; … - In: Journal of mathematical finance 6 (2016) 4, pp. 541-561
Persistent link: https://www.econbiz.de/10011656953
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Robust option pricing : Hannan and Blackwell meet Black and Scholes
DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434
Persistent link: https://www.econbiz.de/10011593386
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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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No-arbitrage bounds on two one-touch options
Tsuzuki, Yukihiro - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011403759
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Optionsbewertung in Theorie und Praxis : theoretische und empirische Überprüfung des Black/Scholes-Modells
Merk, Andreas - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008904878
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Option pricing with economic feasibility
Yu, Yi-jang - In: Modern economy 4 (2013) 1, pp. 73-76
Persistent link: https://www.econbiz.de/10010201966