A general framework for the derivation of asset price bounds: an application to stochastic volatility option models
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References listed on IDEAS
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- repec:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y is not listed on IDEAS
- Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
- Dirk Becherer & Klebert Kentia, 2016. "Hedging under generalized good-deal bounds and model uncertainty," Papers 1607.04488, arXiv.org, revised Apr 2017.
More about this item
KeywordsOption pricing; Incomplete markets; Good-deal bounds; Benchmark stochastic discount factor; Stochastic volatility model; Continuous time; C61; G12; G13;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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