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Comparison of Option Prices in Semimartingale Models

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Author Info
Jan Bergenthum ()
Ludger Rüschendorf ()
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File URL: http://hdl.handle.net/10.1007/s00780-006-0001-9
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 2 (April)
Pages: 222-249
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Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:222-249

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Related research
Keywords: Contingent claim valuation; Semimartingale model; Price orderings; Propagation of convexity; 91B28; 60J75; G13;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140. [Downloadable!] (restricted)
  2. Frey, Rüdiger, 1997. "Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility," Discussion Paper Serie B 401, University of Bonn, Germany. [Downloadable!]
  3. 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. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
  5. N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.
  6. 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.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Erik Ekström & Johan Tysk, 2008. "Convexity theory for the term structure equation," Finance and Stochastics, Springer, vol. 12(1), pages 117-147, January. [Downloadable!] (restricted)
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