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No-arbitrage option pricing : new evidence on the validity of the martingale property

Brenner, Menachem; Eom, Young Ho - 1997

Persistent link: https://www.econbiz.de/10001442896

An autoregressive conditional binomial option pricing model

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2000

Persistent link: https://www.econbiz.de/10001533318

LIBOR rate models, related derivatives and model calibration

Schoenmakers, John (contributor); Coffey, Brian (contributor) - 1999 - [Elektronische Ressource]

Based on Jamshidians framework a general strategy for the quasi-analytical valuation of large classes of LIBOR derivatives will be developed. As a special case we will address the quasi-analytical approximation formula for swaptions of Brace Gatarek and Musiela and show that a similar formula...

Persistent link: https://www.econbiz.de/10001545438

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

Persistent link: https://www.econbiz.de/10001473109

Do S&P 500 index options violate the martingale restriction?

Strong, Norman; Xu, Xinzhong - In: The journal of futures markets 19 (1999) 5, pp. 499-521

Persistent link: https://www.econbiz.de/10001410411

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

Persistent link: https://www.econbiz.de/10001450616

An autoregressive conditional binominal option pricing model

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 353-373). 2002

Persistent link: https://www.econbiz.de/10001679460

Option pricing by large risk aversion utility under transaction costs

Bouchard, Bruno; Kabanov, Jurij M.; Touzi, Nizar - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 127-136

Persistent link: https://www.econbiz.de/10001683843

A note on the valuation of compound options

Lajeri-Chaherli, Fatma - In: The journal of futures markets 22 (2002) 11, pp. 1103-1115

Persistent link: https://www.econbiz.de/10001729248

A semimartingale BSDE related to the minimal entropy martingale measure

Mania, Michael; Santacroce, Marina; Tevzadze, Revaz - In: Finance and stochastics 7 (2003) 3, pp. 385-402

Persistent link: https://www.econbiz.de/10001771742