TWO PROCESSES FOR TWO PRICES

DOI10.1142/S0219024914500058zbMath1295.91092OpenAlexW3125847024MaRDI QIDQ5411989

Dilip B. Madan, Wim Schoutens

Publication date: 25 April 2014

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

Full work available at URL: https://doi.org/10.1142/s0219024914500058

zbMATH Keywords

put-call parityvariance swapsvariance gammaSato processbutterfly spreadcall spreadcalendar spreadstraddles and strangles

Mathematics Subject Classification ID

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

Related Items (2)

Option returns ⋮ CONIC PORTFOLIO THEORY

Cites Work

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• A two price theory of financial equilibrium with risk management implications
• Option pricing using variance gamma Markov chains
• Structured products equilibria in conic two price markets
• Self-similar processes with independent increments
• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• THE RANGE OF TRADED OPTION PRICES
• SELF-DECOMPOSABILITY AND OPTION PRICING
• The Variance Gamma Process and Option Pricing

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