𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Arbitrage-free market models for option prices: the

✍ Scribed by Martin Schweizer; Johannes Wissel


Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
699 KB
Volume
12
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Markov and semi-Markov option pricing mo
✍ Janssen, Jacques ;Manca, Raimondo ;Di Biase, Giuseppe πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 162 KB πŸ‘ 1 views

The aim of this paper is the presentation of new models for option pricing that are discrete in time and in the framework of Markov and semi-Markov processes as an alternative to the classical Cox-Rubinstein model, and that also allow the possibility of arbitrage. Both cases of European and American

Numerical analysis and computing for opt
✍ Rafael Company; Lucas JΓ³dar; JosΓ©-RamΓ³n Pintos πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 324 KB

Nowadays market liquidity has become an issue of very high concern in financial risk management. This paper deals with the numerical analysis and computing of nonlinear models of option pricing that appear when illiquid market effects are taken into account. A consistent monotone finite difference s