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On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond

Dokuchaev, Nikolai - 2014

equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …

Persistent link: https://www.econbiz.de/10013067602

Implementing option pricing models when asset returns follow an autoregressive moving average process

Wang, Chou-wen; Wu, Chin-wen; Tzang, Shyh-weir - In: International review of economics & finance : IREF 24 (2012), pp. 8-25

Persistent link: https://www.econbiz.de/10009690239

Option pricing with discrete time jump processes

Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445

Persistent link: https://www.econbiz.de/10010348134

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

measure P. Minimal entropy martingale measure (MEMM) is used to value European call option with a view of comparing the …

Persistent link: https://www.econbiz.de/10011883226

Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution

Mukupa, George M.; Offen, Elias R. - In: Journal of mathematical finance 8 (2018) 3, pp. 599-612

Persistent link: https://www.econbiz.de/10011968727

Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models

Criens, David; Glau, Kathrin; Grbac, Zorana - In: Applied mathematical finance 24 (2017) 1/2, pp. 23-37

Persistent link: https://www.econbiz.de/10011746992

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Robust hedging with proportional transaction costs

Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347

Persistent link: https://www.econbiz.de/10010340734

Analytical comparisons of option prices in stochastic volatility models

Henderson, Vicky - 2002

Persistent link: https://www.econbiz.de/10009581661