In contrast to conventional model-based derivative pricing, a recent stream of research aims to investigate what prices are consistent with absence of arbitrage, given only the current prices of traded options on the same underlying. This paper gives a succinct survey of work in this area. After...

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...

In this paper, we consider the utility indifference pricing and utility-based pricing in the market with transaction costs. The utility maximization problem including contingent claims in the market with transaction costs has been considered by Bouchard (2002). Following his results, we consider...