Arbitrage and completeness in financial markets with given N-dimensional distributions
Author
Abstract
Suggested Citation
DOI: 10.1007/s10203-004-0044-3
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52, January.
- F. Thierbach, 2003. "Mean-Variance Hedging Under Additional Market Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 613-636.
- Damiano Brigo & Fabio Mercurio, 2000. "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, vol. 4(2), pages 147-159.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
- Erhan Bayraktar & Gu Wang, 2018.
"Quantile Hedging in a semi-static market with model uncertainty,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
- Erhan Bayraktar & Gu Wang, 2014. "Quantile Hedging in a Semi-Static Market with Model Uncertainty," Papers 1408.4848, arXiv.org, revised Sep 2017.
- Luciano Campi & Claude Martini, 2016. "On the support of extremal martingale measures with given marginals: the countable case," Papers 1607.07197, arXiv.org, revised Mar 2019.
- Albin, J.M.P., 2008. "A continuous non-Brownian motion martingale with Brownian motion marginal distributions," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 682-686, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
- Karl Friedrich Mina & Gerald H. L. Cheang & Carl Chiarella, 2015.
"Approximate Hedging Of Options Under Jump-Diffusion Processes,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-26.
- Karl Mina & Gerald Cheang & Carl Chiarella, 2013. "Approximate Hedging of Options under Jump-Diffusion Processes," Research Paper Series 340, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2021.
"Option pricing models without probability: a rough paths approach,"
Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1494-1521, October.
- John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2018. "Option pricing models without probability: a rough paths approach," Papers 1808.09378, arXiv.org, revised Jul 2020.
- Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Martingale Schr\"odinger Bridges and Optimal Semistatic Portfolios," Papers 2204.12250, arXiv.org.
- Paul McCloud, 2020. "Expectation and Price in Incomplete Markets," Papers 2006.16703, arXiv.org.
- Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Martingale Schrödinger bridges and optimal semistatic portfolios," Finance and Stochastics, Springer, vol. 27(1), pages 233-254, January.
- Peter Carr & Liuren Wu, 2014.
"Static Hedging of Standard Options,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
- Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
- Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
- René Garcia & Richard Luger & Eric Renault, 2000.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
Working Papers
2000-57, Center for Research in Economics and Statistics.
- René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
- Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, December.
- David Backus & Mikhail Chernov & Ian Martin, 2011.
"Disasters Implied by Equity Index Options,"
Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
- Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
- Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
- Hardeep Singh Mundi, 2023. "Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study," Management Review Quarterly, Springer, vol. 73(1), pages 215-230, February.
- Zhu, Ke & Ling, Shiqing, 2015.
"Model-based pricing for financial derivatives,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
- Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
- Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021. "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 25-51, January.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:27:y:2004:i:1:p:57-80. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.