Detecting and Repairing Arbitrage in Traded Option Prices
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Publication:4994674
DOI10.1080/1350486X.2020.1846573zbMath1466.91331arXiv2008.09454OpenAlexW3127907175MaRDI QIDQ4994674
Sheng Wang, Samuel N. Cohen, Christoph Reisinger
Publication date: 21 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.09454
Related Items (5)
Arbitrage-Free Neural-SDE Market Models ⋮ Hedging Option Books Using Neural-SDE Market Models ⋮ On intermediate marginals in martingale optimal transportation ⋮ Simulation of Arbitrage-Free Implied Volatility Surfaces ⋮ No arbitrage global parametrization for the eSSVI volatility surface
Uses Software
Cites Work
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