Volatility time and properties of option prices

DOI10.1214/aoap/1060202830zbMath1061.91028OpenAlexW1977262664MaRDI QIDQ1425480

Svante Janson, Johan Tysk

Publication date: 21 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1060202830

zbMATH Keywords

convexitystochastic differential equationsBrownian motions

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Initial value problems for second-order parabolic equations (35K15)

Related Items (19)

Bubbles, convexity and the Black-Scholes equation ⋮ Preservation of convexity of solutions to parabolic equations ⋮ The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate ⋮ Superreplication of Options on Several Underlying Assets ⋮ Bayesian Sequential Composite Hypothesis Testing in Discrete Time ⋮ Convexity preserving jump-diffusion models for option pricing ⋮ Feynman–Kac theorems for generalized diffusions ⋮ Multi-dimensional sequential testing and detection ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs ⋮ Convexity theory for the term structure equation ⋮ Sequential testing of a Wiener process with costly observations ⋮ Wicksellian theory of forest rotation under interest rate variability ⋮ Properties of American option prices ⋮ Bayesian sequential testing of the drift of a Brownian motion ⋮ On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems ⋮ Bayesian sequential least-squares estimation for the drift of a Wiener process ⋮ MONOTONICITY OF PRICES IN HESTON MODEL ⋮ The American put option in a one-dimensional diffusion model with level-dependent volatility

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Volatility misspecification, option pricing and superreplication via coupling
• Martingales versus PDEs in finance: an equivalence result with examples
• Mean stochastic comparison of diffusions
• Robustness of the Black and Scholes Formula

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