Convex duality in continuous option pricing models

DOI10.1007/S10479-022-05143-YzbMATH Open1539.91127MaRDI QIDQ6549620

Lorenzo Torricelli, Peter Carr

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

logistic modelconvex dualityoption valuationBachelier modelconvex conjugatedual deltamultiplicatively separable volatility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• Additive logistic processes in option pricing
• Directional entropy and tail uncertainty, with applications to financial hazard
• THE RANGE OF TRADED OPTION PRICES
• Stochastic differential equations. An introduction with applications.
• Théorie de la spéculation.

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