MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS
Author:
Affiliation:
1. University of Bath
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12058/fullpdf
Reference22 articles.
1. Prices of State-Contingent Claims Implicit in Option Prices;Breeden;J. Business,1978
2. Robust Hedging of Barrier Options;Brown;Math. Finance,2001
3. Expensive Martingales;Buehler;Quant. Finance,2006
4. Hedging Variance Options on Continuous Semimartingales;Carr;Finance Stoch.,2010
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