Arbitrage-free option prices on global markets

DOI10.1007/S10958-009-9439-6zbMath1177.91127OpenAlexW2082468604MaRDI QIDQ1037009

S. R. Filimonova, Yana I. Belopolskaya

Publication date: 13 November 2009

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-009-9439-6

zbMATH Keywords

stochastic volatilityoption pricingATMlocal volatilityITMOTM

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

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