Comparison of Option Prices in Semimartingale Models
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References listed on IDEAS
- Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187, July.
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"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.
- Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, "undated". "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 01-96, Wharton School Rodney L. White Center for Financial Research.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta hedging in a jump-diffusion model," Papers 1910.08946, arXiv.org.
- Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
- Fabio Bellini & Franco Pellerey & Carlo Sgarra & Salimeh Yasaei Sekeh, 2012. "Comparison results for Garch processes," Papers 1204.3786, arXiv.org.
- Erik Ekström & Johan Tysk, 2008. "Convexity theory for the term structure equation," Finance and Stochastics, Springer, vol. 12(1), pages 117-147, January.
- Gapeev Pavel V. & Sottinen Tommi & Valkeila Esko, 2011. "Robust replication in H-self-similar Gaussian market models under uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 37-50, March.
More about this item
KeywordsContingent claim valuation; Semimartingale model; Price orderings; Propagation of convexity; 91B28; 60J75; G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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