Dynamic option pricing with endogenous stochastic arbitrage

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 17, 2010, Pages 3552-3564

  Contreras, Mauricio ^a   Montalva, Rodrigo ^a   Pellicer, Rely ^a   Villena, Marcelo ^a  

^a UNIVERSIDAD ADOLFO IBÁÑEZ   (Chile)

Author keywords

Arbitrage; Black Scholes model; Option pricing

Indexed keywords

COSTS; ECONOMICS; INVESTMENTS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TRAJECTORIES;

ARBITRAGE; BLACK-SCHOLES MODEL; INVESTMENT STRATEGY; MARKET EQUILIBRIA; OPTION PRICING; OPTION PRICING MODELS; STEP FUNCTIONS; TRANSACTION DATA;

FINANCIAL MARKETS;

EID: 77953687887     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.04.019     Document Type: Article

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