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1. 1. Arbitrage-free market models for interest rate options and future options: the multi-strike case

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Hui Ye; Anastasia Ellanskaya; [2010]
   Keywords : Financial Mathem; atics; arbitrage-free market; interest rate options; multy-strike case;

   Abstract : This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. READ MORE