Comparison of option prices in semimartingale models

Finance and Stochastics

Volumn 10, Issue 2, 2006, Pages 222-249

  Bergenthum, Jan ^a   Rüsehendorf, Ludger ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Contingent claim valuation; Price orderings; Propagation of convexity; Semimartingale model

Indexed keywords

EID: 33646712799     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0001-9     Document Type: Article

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