THE RANGE OF TRADED OPTION PRICES

By Mark H. A. Davis, David Hobson *. 2007

192 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cce6a527e77f6d87666bfb65279c81f11863ff01

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Finance

Citations in the corpus

Arbitrage and duality in nondominated discrete-time models (2013, background): “A more related branch of this literature, starting with [9], studies when a given set ( nite or not) of option prices is generated by a martingale measure and, more generally, is consistent with absence of arbitrage; see [1, 7, 11, 13, 14, 15, 17, 32].”
Martingale optimal transport and robust hedging in continuous time (2012, result): “olio of an investor consists of static positions in the call options in addition to the usual dynamically updated risky asset. This leads us to a similar structure to that in [19] and in other papers [6, 8, 10, 11, 14, 15, 18, 21, 22, 23, 24, 25, 29] which consider modelindependent pricing. This app”
The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012, methodology): “Then: Our objective in the subsequent sections is to use the last dual formulation in order to obtain a closed form expression for the above upper bound in the following special cases: • Lookback option ξ := g ( X T , X ∗ T ), with X ∗ T := max t ≤ T X t , under one-marginal constraint n = 1, and…”
ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS (2010, methodology): “that this option does not introduce arbitrage when traded in addition to the existing puts? We answer this question in Section 3 following a statement of the standing assumptions and a summary of the Davis and Hobson (2007) results in Section 2. The basic technique in Section 3 is to apply the duali”
Martingale optimal transport in the Skorokhod space (2014, result): “The structure studied in this paper is similar to that of [19] and also of [6, 9, 10, 11, 13, 14, 15, 18, 21, 22, 23, 24, 25, 27].”
Stochastic Local Volatility (2008, background): “The absence of dynamic arbitrage places constraints on the state probability space, and further complex conditions for absence of static arbitrage are required, as specified by Carr and Madan (2005) or Davis and Hobson (2007).”
ROBUST BOUNDS FOR FORWARD START OPTIONS (2012, background): “For further discussion, see, for example, Davis and Hobson (2007).”
Model-independent bounds for option prices—a mass transport approach (2011, unknown): “3Similar strategies are considered in [10, 14] where they are used to subreplicate a European option based on finitely many given call options.”