Option pricing models without probability: a rough paths approach-Reference-Cited by-同舟云学术

Option pricing models without probability: a rough paths approach

Published:2021-05-05 Issue:4 Volume:31 Page:1494-1521
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Armstrong John¹^ORCID,Bellani Claudio²,Brigo Damiano²^ORCID,Cass Thomas²

Affiliation:

1. King's College London London UK

2. Department of Mathematics Imperial College London London UK

Funder

Engineering and Physical Sciences Research Council

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12308

Reference22 articles.

1. Mathematical Models for Stock Pinning near Option Expiration Dates

2. A market-induced mechanism for stock pinning

3. Pricing by hedging and no-arbitrage beyond semimartingales

4. Dynamic spanning without probabilities

5. Brigo D.(April2019).Probability‐free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility.Paper presented at the conference “Options: 45 Years after the publication of the Black‐Scholes‐Merton Model” Jerusalem 4–5 December 2018 arXiv:1904.01889.

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