MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED

DOI10.1111/j.1467-9965.2002.tb00131.xzbMath1029.91035OpenAlexW3123025569MaRDI QIDQ4419302

Masaaki Kijima

Publication date: 13 August 2003

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2002.tb00131.x

zbMATH Keywords

stock pricejump-diffusion modelEuropean contingent claim

Mathematics Subject Classification ID

Related Items (7)

Convexity preserving jump-diffusion models for option pricing ⋮ Total positivity and relative convexity of option prices ⋮ THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH ⋮ The mean comparison theorem cannot be extended to the Poisson case ⋮ MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED ⋮ Affine processes under parameter uncertainty ⋮ MONOTONICITY OF PRICES IN HESTON MODEL

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