Risk-neutral compatibility with option prices
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 14 (2010)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60G - - - - - -
- 60H - - - - - -
- 60H - - - - - -
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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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- Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 77-114.
- Robert Jarrow & Philip Protter, 2011. "Foreign currency bubbles," Review of Derivatives Research, Springer, vol. 14(1), pages 67-83, April.
- S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
- Stadje, M.A. & Pelsser, A., 2012. "Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)," Discussion Paper 2012-086, Tilburg University, Center for Economic Research.
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- 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.
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