Comparison of Option Prices in Semimartingale Models
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 10 (2006)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 60J - - - - - -
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992.
"Option Pricing Under Incompleteness and Stochastic Volatility,"
Wiley Blackwell, vol. 2(3), pages 153-187.
- N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.
- Thomas Goll & Ludger Rüschendorf, 2001. "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, vol. 5(4), pages 557-581.
- Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, .
"General Properties of Option Prices (Revision of 11-95) (Reprint 058),"
Rodney L. White Center for Financial Research Working Papers
01-96, Wharton School Rodney L. White Center for Financial Research.
- Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, . "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 1-96, Wharton School Rodney L. White Center for Financial Research.
- Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. " General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
- Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany.
- Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh, 2012. "Comparison results for Garch processes," Papers 1204.3786, arXiv.org.
- Erik Ekström & Johan Tysk, 2008. "Convexity theory for the term structure equation," Finance and Stochastics, Springer, vol. 12(1), pages 117-147, January.
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