Monotonicity And Convexity Of Option Prices Revisited
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DOI: 10.1111/j.1467-9965.2002.tb00131.x
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Citations
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Cited by:
- Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
- Erik Ekstrom & Johan Tysk, 2006. "Convexity preserving jump-diffusion models for option pricing," Papers math/0601526, arXiv.org.
- Antonio Mele, 2004.
"General Properties of Rational Stock-Market Fluctuations,"
Econometric Society 2004 North American Summer Meetings
223, Econometric Society.
- Mele, Antonio, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
- Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies.
- Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group.
- Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance 0409004, University Library of Munich, Germany.
- Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
- Курочкин С.В., 2016. "Выпуклость Множества Цен Опционов Как Необходимое И Достаточное Условие Отсутствия Арбитража," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(2), pages 103-111, апрель.
- Martin Keller-Ressel, 2019. "The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach," Papers 1908.04667, arXiv.org, revised Jun 2021.
- Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
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