Good-deal option price bounds for a non-traded event with stochastic return: a note

DOI10.1007/S10690-006-9006-9zbMATH Open1188.91219OpenAlexW2059607352MaRDI QIDQ2431778

Yong-Jin Kim

Publication date: 24 October 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9006-9

zbMATH Keywords

incomplete marketstochastic returnmean reverting processgood-deal option price bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• An equilibrium characterization of the term structure

This page was built for publication: Good-deal option price bounds for a non-traded event with stochastic return: a note

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2431778)