Probing option prices for information
DOI10.1007/s11009-006-9005-3zbMath1157.60067OpenAlexW1976456494MaRDI QIDQ2642481
Marc Yor, Dilip B. Madan, Hélyette Geman
Publication date: 17 August 2007
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-9005-3
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (2)
Cites Work
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