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On the range of options prices · Study

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ArticleOn the range of options prices

Ernst Eberlein1997

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Articlebronze1997

On the range of options prices

Ernst Eberlein · Jean Jacod

149 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1981Martingales and stochastic integrals in the theory of continuous trading 1995Hyperbolic Distributions in Finance 1990Hedging of contingent claims under incomplete information 1985Hedging of non-redundant contingent claims 1996Approximation pricing and the variance-optimal martingale measure

Cited by

1997Optional decomposition and Lagrange multipliers 2003Hyperbolic Processes in Finance 2006Variance-optimal hedging for processes with stationary independent increments 2002Some recent developments in stochastic volatility modelling 2000Realistic Statistical Modelling of Financial Data 2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models 2000Incompleteness of markets driven by a mixed diffusion 2005Risk measure pricing and hedging in incomplete markets

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1999Dynamic programming and mean-variance hedgingarticle · 4 shared references 1997Weighted norm inequalities and hedging in incomplete marketsarticle · 4 shared references 2000On quadratic hedging in continuous timearticle · 4 shared references 2000Mean‐Variance Hedging for Stochastic Volatility Modelsarticle · 4 shared references 2001THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONSarticle · 4 shared references 2002Derivative pricing based on local utility maximizationarticle · 4 shared references

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Year1997

Typearticle

Published1997-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations149

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050019

openalex_workW2095578262

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