Negative call prices

DOI10.1007/s10436-012-0221-2zbMath1298.91168arXiv1204.1903OpenAlexW3105442798MaRDI QIDQ470687

Johannes Ruf

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1903

zbMATH Keywords

hedgingarbitragepricingadmissibilitystrict local martingalecontingent claimNFLVR

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

On the implied market price of risk under the stochastic numéraire ⋮ Uniform Bounds for Black--Scholes Implied Volatility ⋮ Weak tail conditions for local martingales ⋮ On the hedging of options on exploding exchange rates ⋮ Pricing without no-arbitrage condition in discrete time

Cites Work

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• The Pricing of Options and Corporate Liabilities
• On the hedging of options on exploding exchange rates
• Martingales and arbitrage in multiperiod securities markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Strict local martingale deflators and valuing American call-type options
• Local martingales, bubbles and option prices
• The mathematics of arbitrage
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Stochastic Portfolio Theory: an Overview
• HEDGING UNDER ARBITRAGE

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