Non-uniqueness of option prices

DOI10.1016/0167-6687(88)90098-4zbMath0709.62504OpenAlexW2073653340MaRDI QIDQ921793

Hans U. Gerber, Elias S. W. Shiu

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90098-4

zbMATH Keywords

option pricingbinomial modelBlack-Scholes theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Option pricing methods: an overview ⋮ Stochastic models for bond prices, function space integrals and immunization theory

Cites Work

• The Pricing of Options and Corporate Liabilities
• A note on immunization under a general stochastic equilibrium model of the term structure
• Option pricing: A simplified approach
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