Arbitrage-free market models for option prices
The multi-strike case
Open access
Date
2008Type
- Journal Article
ETH Bibliography
yes
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Permanent link
https://doi.org/10.3929/ethz-b-000004672Publication status
publishedExternal links
Journal / series
Finance and StochasticsVolume
Pages / Article No.
Publisher
SpringerSubject
Option prices; Market model; Implied volatility; Static arbitrage; Dynamic arbitrage; Drift restrictions; Existence resultOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 21 May 2007, Accepted 14 April 2008, Published online 30 May 2008. It was possible to publish this article open access thanks to a Swiss National Licence with the publisherMore
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ETH Bibliography
yes
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