Essays about: "martingale approach in option pricing"

Found 2 essays containing the words martingale approach in option pricing.

  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

  3. 2. Option Pricing in the Presence of Liquidity Risk

    University essay from Institutionen för fysik

    Author : Martin Harr; [2010]
    Keywords : liquidity risk; liquidity costs; option theory; supply curve; martingale approach in option pricing;

    Abstract : The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. READ MORE