On the range of options prices (*)
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References listed on IDEAS
- Ernst Eberlein & Jean Jacod, 1997. "On the range of options prices (*)," Finance and Stochastics, Springer, vol. 1(2), pages 131-140.
- Kramkov, D.O., 1994. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets," Discussion Paper Serie B 294, University of Bonn, Germany.
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KeywordsContingent claim valuation; incomplete model; purely discontinuous process; martingale measures;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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