Comparison of option prices in semimartingale models

DOI10.1007/s00780-006-0001-9zbMath1101.91028OpenAlexW1988811595MaRDI QIDQ854274

Jan Bergenthum, Ludger Rüschendorf

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0001-9

zbMATH Keywords

contingent claim valuationprice orderingspropagation on convexitysemimartingale model

Mathematics Subject Classification ID

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

Related Items

Comparison Results for GARCH Processes ⋮ Monotone convex order for the McKean-Vlasov processes ⋮ Convexity preserving jump-diffusion models for option pricing ⋮ Comparison of semimartingales and Lévy processes ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Markov projection of semimartingales -- application to comparison results ⋮ Comparison results for stochastic volatility models via coupling ⋮ Convexity theory for the term structure equation ⋮ Convex ordering criteria for Lévy processes ⋮ Convex comparison inequalities for non-Markovian stochastic integrals ⋮ Convex ordering for random vectors using predictable representation ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ Stochastic ordering by \(g\)-expectations ⋮ A note on convex ordering for stable stochastic integrals ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus ⋮ \( G\)-expectation approach to stochastic ordering ⋮ Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A characterization of random variables with minimum \(L^ 2\)-distance
• Propagation of convexity by Markovian and martingalian semigroups
• Volatility misspecification, option pricing and superreplication via coupling
• Pricing contingent claims on stocks driven by Lévy processes
• On the range of options prices
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Incompleteness of markets driven by a mixed diffusion
• Stochastic orders in dynamic reinsurance markets
• Optimal portfolios for logarithmic utility.
• Preservation of convexity of solutions to parabolic equations
• The variance-optimal martingale measure for continuous processes
• Approximation pricing and the variance-optimal martingale measure
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• Bounds on European Option Prices under Stochastic Volatility
• Robustness of the Black and Scholes Formula
• Option Pricing Under Incompleteness and Stochastic Volatility
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Coupling and option price comparisons in a jump-diffusion model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization