Expensive martingales

被引：14
作者：
Buehler, Hans
机构：
[1] Deutsch Bank AG London, Global Markets Equ, Quantitat Prod Analyt, London EC2N 2EQ, England
[2] TU Berlin, Math Inst, D-10623 Berlin, Germany
来源：
QUANTITATIVE FINANCE | 2006年 / 6卷 / 03期
关键词：
marginal distribution; transition kernel; forward start options; arbitrage;
D O I：
10.1080/14697680600668071
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We characterize strictly arbitrage-free markets of European options where only a discrete set of options is traded. We then construct martingales which reprice all given options and which are 'most expensive' among all tnartingales with this property. We also present algorithms to adjust real-life market data and to construct expensive martingales while taking into account additional 'weak' information: estimated prices of more exotic products such as. for example. forward started options.
引用
收藏
页码：207 / 218
页数：12
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