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Risk-neutral compatibility with option prices

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  • Jean Jacod
  • Philip Protter

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0109-9
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 14 (2010)
    Issue (Month): 2 (April)
    Pages: 285-315

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    Handle: RePEc:spr:finsto:v:14:y:2010:i:2:p:285-315

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    Related research

    Keywords: Option prices; Risk neutral measures; Equity pricing; Equivalent martingale measures; 60G44; 60H10; 60H05; G12; G13;

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    References

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    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.:
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    1. René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, Springer, vol. 13(1), pages 1-48, January.
    2. Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 18(1), pages 77-114.
    3. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 135-55, January.
    4. Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(4), pages 399-412.
    5. Ernst Eberlein & Jean Jacod & Sebastian Raible, 2005. "Lévy term structure models: No-arbitrage and completeness," Finance and Stochastics, Springer, Springer, vol. 9(1), pages 67-88, January.
    6. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(2), pages 211-239.
    7. Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 91(2), pages 169-203, February.
    8. Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, Springer, vol. 12(4), pages 469-505, October.
    9. Mark Davis & Jan Obloj, 2007. "Market completion using options," Papers 0710.2792, arXiv.org, revised Oct 2008.
    10. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 77-105, January.
    11. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(1), pages 31-53.
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    Cited by:
    1. Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, Springer, vol. 14(1), pages 67-83, April.
    2. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, Springer, vol. 16(1), pages 63-104, January.
    3. Pelsser, A. & Stadje, M.A., 2012. "Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)," Discussion Paper, Tilburg University, Center for Economic Research 2012-086, Tilburg University, Center for Economic Research.
    4. Elisa Alòs & Jorge A. León, 2013. "On the closed-form approximation of short-time random strike options," Economics Working Papers 1347, Department of Economics and Business, Universitat Pompeu Fabra.
    5. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, Springer, vol. 15(4), pages 685-724, December.
    6. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper, Tilburg University, Center for Economic Research 2014-002, Tilburg University, Center for Economic Research.

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