On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved

DOI10.1016/0022-0531(91)90148-WzbMath0719.90012OpenAlexW2064463575MaRDI QIDQ2640422

Susan T. Cheng

Publication date: 1991

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(91)90148-w

zbMATH Keywords

interest rate sensitive assetsstochastic bond price process

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (7)

Equivalent martingale measures for bridge processes ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Probing option prices for information ⋮ Martingale densities for general asset prices ⋮ THE ENTROPY THEORY OF BOND OPTION PRICING ⋮ DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

Cites Work

• The Pricing of Options and Corporate Liabilities
• An extension of the Black-Scholes model of security valuation
• Martingales and arbitrage in multiperiod securities markets
• A Theory of the Term Structure of Interest Rates
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