PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION

DOI10.1142/S021902490700424XzbMath1136.91479MaRDI QIDQ5297229

Giora Harpaz, Arie Harel, Jack Clark Francis

Publication date: 18 July 2007

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

zbMATH Keywords

contingent claimssecurity pricingprice limitsrisk neutral valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Do price limits help control stock price volatility?

Cites Work

• The Pricing of Options and Corporate Liabilities
• Unnamed Item

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