Is there an informationally passive benchmark for option pricing incorporating maturity?

DOI10.1080/14697680601011438zbMath1278.91161OpenAlexW1965197637MaRDI QIDQ3439869

Tino Kluge, Vicky Henderson, David G. Hobson

Publication date: 18 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601011438

Mathematics Subject Classification ID

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

Related Items (2)

Additive logistic processes in option pricing ⋮ ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY

Cites Work

• The Pricing of Options and Corporate Liabilities

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