The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

Lecture Notes in Mathematics - Germany
doi 10.1007/978-3-642-14660-2_4
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Berlin Heidelberg

Related search

Bounds for Perpetual American Option Prices in a Jump Diffusion Model

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2006English

Calibrated Option Bounds

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2005English

Approximation for Option Prices Under Uncertain Volatility

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2014English

An Empirical Study of Option Prices Under the Hybrid Brownian Motion Model

Journal of Mathematical Finance
2013English

Smoothing the Payoff for Efficient Computation of Basket Option Prices

Quantitative Finance
EconomicsEconometricsFinance
2017English

The Derivatives of Asian Call Option Prices

Communications in Mathematical Sciences
MathematicsApplied Mathematics
2008English

A CNN Based System for Predicting the Implied Volatility and Option Prices

2020English

Option Pricing and Hedging Bounds in Incomplete Markets

Journal of Derivatives & Hedge Funds
2008English

New Lower Bounds for Hopcroft's Problem

Discrete and Computational Geometry
CombinatoricsMathematicsGeometryDiscrete MathematicsComputational TheoryTopologyTheoretical Computer Science
1996English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy