Arbitrage-free market models for option prices: the multi-strike case
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More about this item
KeywordsOption prices; Market model; Implied volatility; Static arbitrage; Dynamic arbitrage; Drift restrictions; Existence result; 60H10; 91B28; C60; G13;
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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