Option prices under generalized pricing kernels

DOI10.1007/s11147-005-3852-xzbMath1108.91039OpenAlexW1979641910MaRDI QIDQ812143

Erik Lüders, Bertram Düring

Publication date: 23 January 2006

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-005-3852-x

zbMATH Keywords

option pricingfinite differencespartial differential equationimplied volatilitypricing kernel

Mathematics Subject Classification ID

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

Related Items

Instability of financial markets and preference heterogeneity ⋮ Equilibrium preference free pricing of derivatives under the generalized beta distributions ⋮ Asset pricing under information with stochastic volatility

Cites Work

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