A general framework for the derivation of asset price bounds: An application to stochastic volatility option models
type: Item
instance of: scholarly article
title: A general framework for the derivation of asset price bounds: An application to stochastic volatility option models
zbMATH Open document ID: 1175.91069
author: Oleg Bondarenko
author: Iñaki R. Longarela
published in: Review of Derivatives Research
publication date: 2009-11-23T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5636959
MaRDI profile type: Publication
full work available at URL: s11147-009-9032-7
OpenAlex ID: W2042364556
cites work: Towards a General Theory of Good-Deal Bounds*
cites work: Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
cites work: A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
cites work: Coherent risk measures and good-deal bounds
DOI: 10.1007/S11147-009-9032-7
description: scientific article; zbMATH DE number 5636959