Wissel, Johannes Stefan - 2008
Diss. ETH No. 17538
Arbitrage-free
Market Models
for
Liquid Options
JOHANNES STEFAN WISSEL
Diss. ETH No. 17538 …
Arbitrage-free
Market Models
for
Liquid Options
A dissertation submitted to
ETH ZURICH
for the
degree
of
Doctor of Sciences … assets are traded
liquidly.
Our
goal
is to construct an
arbitrage-free
model of this market
by
specifying
the
joint dynamics …