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Option arbitrage and strategy with large price changes

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  • Jones, E. Philip

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  • Jones, E. Philip, 1984. "Option arbitrage and strategy with large price changes," Journal of Financial Economics, Elsevier, vol. 13(1), pages 91-113, March.
    • Handle: RePEc:eee:jfinec:v:13:y:1984:i:1:p:91-113
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    Cited by:

    1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. Ivan Arraut & Alan Au & Alan Ching-biu Tse & Joao Alexandre Lobo Marques, 2019. "On the probability flow in the Stock market I: The Black-Scholes case," Papers 2001.00516, arXiv.org.
    4. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-265.
    5. Martzoukos, Spiros H. & Trigeorgis, Lenos, 2002. "Real (investment) options with multiple sources of rare events," European Journal of Operational Research, Elsevier, vol. 136(3), pages 696-706, February.
    6. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    7. Ivan Arraut & Alan Au & Alan Ching-biu Tse, 2020. "On the multiplicity of the martingale condition: Spontaneous symmetry breaking in Quantum Finance," Papers 2004.11270, arXiv.org.
    8. Ivan Arraut & João Alexandre Lobo Marques & Sergio Gomes, 2021. "The Probability Flow in the Stock Market and Spontaneous Symmetry Breaking in Quantum Finance," Mathematics, MDPI, vol. 9(21), pages 1-18, November.
    9. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    10. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
    11. Ivan Arraut & Joao Alexandre Lobo Marques & Sergio Gomes, 2022. "The probability flow in the Stock market and Spontaneous symmetry breaking in Quantum Finance," Papers 2206.07130, arXiv.org.
    12. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute.
    13. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
    14. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(2), pages 87-102, March.
    15. Ghosh, Dilip K. & Ghosh, Dipasri, 2005. "Covered arbitrage with currency options: A theoretical analysis," Global Finance Journal, Elsevier, vol. 16(1), pages 86-98, August.
    16. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2014. "Assessing the performance of symmetric and asymmetric implied volatility functions," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 373-397, April.
    17. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.

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