Resonance phenomena in option pricing with arbitrage

Author:

Contreras M.,Echeverría J.,Peña J.P.,Villena M.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference29 articles.

1. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

2. Theory of rational option pricing;Merton;Bell J. Econ. Manage. Sci.,1973

3. A closed form solution for option with stochastic volatility, with applications to bond and currency options;Heston;Rev. Financ. Stud.,1993

4. The pricing of options on assets with stochastic volatilities;Hull;J. Finance,1987

5. Stochastic mean and stochastic volatility: A three-factor model of the term structure of interest rates and its application to the pricing of interest rate derivatives;Chen;Financial Mark. Inst. Instrum.,1996

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1. Conditional expectation strategy under the long memory Heston stochastic volatility model;Communications in Statistics - Simulation and Computation;2023-03-21

2. Endogenous stochastic arbitrage bubbles and the Black–Scholes model;Physica A: Statistical Mechanics and its Applications;2021-12

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