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Consistency of option prices under bid–ask spreads - MaRDI portal

Consistency of option prices under bid–ask spreads (Q5109970)

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scientific article; zbMATH DE number 7200939
Language Label Description Also known as
English
Consistency of option prices under bid–ask spreads
scientific article; zbMATH DE number 7200939

    Statements

    title
    Consistency of option prices under bid–ask spreads (English)
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    author
    Stefan Gerhold
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    I. Cetin Gülüm
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    publication date
    14 May 2020
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    zbMATH Keywords
    bid-ask spread
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    call option
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    martingale
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    peacock
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    Strassen's theorem
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    transaction costs
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    Identifiers

    DOI
    10.1111/mafi.12230
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    zbMATH DE Number
    7200939
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    Wikidata QID
    Q92058842
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    OpenAlex ID
    W2985379429
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