THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS

DOI10.1142/S0219024901001024zbMath1153.91512MaRDI QIDQ3523578

Walter Schachermayer, Friedrich Hubalek

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

real optionsarbitrage pricing theoryvariance-optimal hedgingcorrelated Brownian motions

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

VALUATION OF COMPOUND OPTION WHEN THE UNDERLYING ASSET IS NON-TRADABLE ⋮ VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION ⋮ Real options with constant relative risk aversion ⋮ Bounds for the utility-indifference prices of non-traded assets in incomplete markets

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Option hedging for semimartingales
• A general version of the fundamental theorem of asset pricing
• Approximation pricing and the variance-optimal martingale measure
• On Quadratic Cost Criteria for Option Hedging
• Variance-Optimal Hedging in Discrete Time

This page was built for publication: THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS