Conditions on option prices for absence of arbitrage and exact calibration

Citations

Cited by:

1. Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, vol. 15(3), pages 573-605, September.
2. Bruno Bouchard & Marcel Nutz, 2013. "Arbitrage and duality in nondominated discrete-time models," Papers 1305.6008, arXiv.org, revised Mar 2015.
3. Stefan Gerhold & I. Cetin Gulum, 2016. "Consistency of option prices under bid-ask spreads," Papers 1608.05585, arXiv.org, revised Jul 2019.
4. Papapantoleon Antonis & Sarmiento Paulo Yanez, 2021. "Detection of arbitrage opportunities in multi-asset derivatives markets," Dependence Modeling, De Gruyter, vol. 9(1), pages 439-459, January.
5. Antonis Papapantoleon & Paulo Yanez Sarmiento, 2020. "Detection of arbitrage opportunities in multi-asset derivatives markets," Papers 2002.06227, arXiv.org, revised Nov 2021.
6. Beatrice Acciaio & Mathias Beiglbock & Friedrich Penkner & Walter Schachermayer, 2013. "A model-free version of the fundamental theorem of asset pricing and the super-replication theorem," Papers 1301.5568, arXiv.org, revised Mar 2013.
7. Alexander M. G. Cox & Christoph Hoeggerl, 2013. "Model-independent no-arbitrage conditions on American put options," Papers 1301.5467, arXiv.org.
8. Câmara, António, 2009. "Two counters of jumps," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 456-463, March.
9. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
10. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
11. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2020. "Detecting and repairing arbitrage in traded option prices," Papers 2008.09454, arXiv.org.
12. Mathias Beiglböck & Pierre Henry-Labordère & Friedrich Penkner, 2013. "Model-independent bounds for option prices—a mass transport approach," Finance and Stochastics, Springer, vol. 17(3), pages 477-501, July.
13. Rene Carmona & Yi Ma & Sergey Nadtochiy, 2015. "Simulation of Implied Volatility Surfaces via Tangent Levy Models," Papers 1504.00334, arXiv.org.
14. Julian Sester, 2023. "On intermediate Marginals in Martingale Optimal Transportation," Papers 2307.09710, arXiv.org, revised Nov 2023.
15. Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014. "A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty," Risks, MDPI, vol. 2(4), pages 1-9, October.
    • Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013. "A note on the Fundamental Theorem of Asset Pricing under model uncertainty," Papers 1309.2728, arXiv.org, revised Sep 2014.
16. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
17. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
18. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Working Papers hal-00790001, HAL.
19. David Hobson & Martin Klimmek, 2013. "Robust price bounds for the forward starting straddle," Papers 1304.2141, arXiv.org.
20. Julien Guyon, 2020. "Inversion of convex ordering in the VIX market," Quantitative Finance, Taylor & Francis Journals, vol. 20(10), pages 1597-1623, October.
21. Hadrien De March & Pierre Henry-Labordere, 2019. "Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants," Papers 1902.04456, arXiv.org, revised Jul 2023.
22. Jim Gatheral & Antoine Jacquier, 2014. "Arbitrage-free SVI volatility surfaces," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 59-71, January.
    • Jim Gatheral & Antoine Jacquier, 2012. "Arbitrage-free SVI volatility surfaces," Papers 1204.0646, arXiv.org, revised Mar 2013.
23. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
24. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
25. Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
26. Hadrien de March & Pierre Henry-Labordere, 2019. "Building Arbitrage-Free Implied Volatility: Sinkhorn'S Algorithm And Variants," Working Papers hal-02011533, HAL.
27. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Papers 1302.4854, arXiv.org, revised Apr 2013.
28. A. Gulisashvili, 2009. "Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes," Papers 0906.0394, arXiv.org.
29. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
30. David Hobson & Martin Klimmek, 2015. "Robust price bounds for the forward starting straddle," Finance and Stochastics, Springer, vol. 19(1), pages 189-214, January.