THE RANGE OF TRADED OPTION PRICES
From MaRDI portal
Publication:3446056
DOI10.1111/j.1467-9965.2007.00291.xzbMath1278.91158OpenAlexW2143118268MaRDI QIDQ3446056
Mark H. A. Davis, David G. Hobson
Publication date: 8 June 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00291.x
Related Items (81)
The space of outcomes of semi-static trading strategies need not be closed ⋮ OPTION SURFACE STATISTICS WITH APPLICATIONS ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ SDP relaxation of arbitrage pricing bounds based on option prices and moments ⋮ Kriging of financial term-structures ⋮ Probing option prices for information ⋮ No-arbitrage bounds for the forward smile given marginals ⋮ Model-independent bounds for option prices -- a mass transport approach ⋮ ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS ⋮ Arbitrage-free interpolation of call option prices ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Perturbation analysis of sub/super hedging problems ⋮ Weak transport for non‐convex costs and model‐independence in a fixed‐income market ⋮ Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method ⋮ Option price calibration from Rényi entropy ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Arbitrage-Free Neural-SDE Market Models ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ Hedging Option Books Using Neural-SDE Market Models ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ Option pricing generators ⋮ On intermediate marginals in martingale optimal transportation ⋮ Financial activity time ⋮ Simulation of Arbitrage-Free Implied Volatility Surfaces ⋮ The log‐moment formula for implied volatility ⋮ Hedging variance options on continuous semimartingales ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ Machine learning for quantitative finance: fast derivative pricing, hedging and fitting ⋮ Characteristic functions and option valuation in a Markov chain market ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Two price economies in continuous time ⋮ Inversion of convex ordering in the VIX market ⋮ A PDE approach to jump-diffusions ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ Robust pricing and hedging of double no-touch options ⋮ No-arbitrage with multiple-priors in discrete time ⋮ Robust price bounds for the forward starting straddle ⋮ Martingale optimal transport in the Skorokhod space ⋮ Additive Processes with Bilateral Gamma Marginals ⋮ ROBUST BOUNDS FOR DERIVATIVE PRICES IN MARKOVIAN MODELS ⋮ Complete and competitive financial markets in a complex world ⋮ Additive logistic processes in option pricing ⋮ Model uncertainty and the pricing of American options ⋮ ROBUST BOUNDS FOR FORWARD START OPTIONS ⋮ OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES ⋮ A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS ⋮ TWO PROCESSES FOR TWO PRICES ⋮ Peacocks nearby: approximating sequences of measures ⋮ Continuous-time trading and the emergence of probability ⋮ Model-independent hedging strategies for variance swaps ⋮ Tangent Lévy market models ⋮ The valuation of structured products using Markov chain models ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Local volatility dynamic models ⋮ SPARSE CALIBRATIONS OF CONTINGENT CLAIMS ⋮ Arbitrage-free modeling under Knightian uncertainty ⋮ Option overlay strategies ⋮ Pathwise stochastic integrals for model free finance ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS ⋮ On a Heath-Jarrow-Morton approach for stock options ⋮ OPTION PRICING WITH VG–LIKE MODELS ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS ⋮ CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS ⋮ Detecting and Repairing Arbitrage in Traded Option Prices ⋮ Momentum and reversion in risk neutral martingale probabilities ⋮ NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS ⋮ Arbitrage and duality in nondominated discrete-time models ⋮ On Hedging American Options under Model Uncertainty ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints ⋮ Options on realized variance and convex orders ⋮ The maximum maximum of a martingale with given \(n\) marginals ⋮ Universal arbitrage aggregator in discrete-time markets under uncertainty ⋮ Consistent price systems under model uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Static arbitrage bounds on basket option prices
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- Semi-Infinite Programming: Theory, Methods, and Applications
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Expensive martingales
- On a Theorem of Hardy, Littlewood, Polya, and Blackwell
This page was built for publication: THE RANGE OF TRADED OPTION PRICES