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Volatility cones and their sampling properties

Hodges, Stewart D.; Tompkins, Robert G. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10001718685

Asymptotic theory of transaction costs

Schachermayer, Walter - 2017

Persistent link: https://www.econbiz.de/10011763489

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2006

Persistent link: https://www.econbiz.de/10002123958

How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?

Schachermayer, Walter; Teichmann, Josef - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 155-170

Persistent link: https://www.econbiz.de/10003643489

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...

Persistent link: https://www.econbiz.de/10012415568