On the arbitrage price of European call options

DOI10.1080/15326349.2016.1200473zbMath1378.91119OpenAlexW2524268023MaRDI QIDQ2976121

Philip A. Ernst

Publication date: 13 April 2017

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2016.1200473

zbMATH Keywords

martingalessupermartingalesEuropean call optionsarbitrage price

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Generalizations of martingales (60G48) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Exercising control when confronted by a (Brownian) spider
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• Spatiotemporal Prediction for Log-Gaussian Cox Processes
• Option pricing: A simplified approach
• Arbitrage Theory in Continuous Time
• Stochastic finance. An introduction in discrete time

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