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Local martingales, bubbles and option prices
Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles
Carr, Peter - 2011
The construction of martingales with given marginal distributions at given times is a recurrent problem in financial mathematics. From a theoretical point of view, this problem is well-known as necessary and sufficient conditions for the existence of such martingales have been described....
Persistent link: https://www.econbiz.de/10013132624
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On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options
Bayraktar, Erhan - 2014
We consider controller-stopper problems in which the controlled processes can have jumps. The global filtration is represented by the Brownian filtration, enlarged by the filtration generated by the jump process. We assume that there exists a conditional probability density function for the jump...
Persistent link: https://www.econbiz.de/10013059357
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Acceptability bounds for forward starting options using disciplined convex programming
Madan, Dilip B.; Wang, King - In: Journal of risk 19 (2016) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10013177069
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Linking Vanillas and VIX Options : A Constrained Martingale Optimal Transport Problem
De Marco, Stefano - 2015
VIX options from vanilla options and VIX futures. This leads us to introduce a new martingale optimal transportation …
Persistent link: https://www.econbiz.de/10013034724
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Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10012019745
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Robust bounds for the American put
Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
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A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
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PDEs for reflected BSDENMs applied to American options
El Jamali, Mohamed; Tayeq, Hatim - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-22
Persistent link: https://www.econbiz.de/10014500190
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Martingale approach in pricing and hedging European options under regime-switching
Milʹstejn, Grigorij N.; Spokojnyj, Vladimir G. - 2011
markets ; martingale measure ; generalized self-financing strategy ; attainability ; self-financing in mean …The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in … function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov …
Persistent link: https://www.econbiz.de/10009379451