Trudy Matematicheskogo Instituta imeni V.A. Steklova
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Forthcoming papers
Archive
Impact factor
Guidelines for authors
License agreement

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Trudy Mat. Inst. Steklova:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 123–142 (Mi tm326)  
This article is cited in 14 scientific papers (total in 14 papers)

On Option Pricing in Certain Incomplete Markets

P. Jakubenas

Université Pierre & Marie Curie, Paris VI
Full-text PDF (261 kB) Citations (14)
References:
PDF
HTML
Abstract: In the present paper we consider the valuation of a European option with a convex pay-off function $g$ and establish the range of “fair” option prices when the stock price is driven by an exponential of a general Lévy process.
Received in February 1999
Bibliographic databases:
UDC: 519.2+519.8
Language: English
Citation: P. Jakubenas, “On Option Pricing in Certain Incomplete Markets”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 123–142; Proc. Steklov Inst. Math., 237 (2002), 114–133
Citation in format AMSBIB
\Bibitem{Jak02}
\by P.~Jakubenas
\paper On Option Pricing in Certain Incomplete Markets
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 123--142
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm326}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1976510}
\zmath{https://zbmath.org/?q=an:1113.91320}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 114--133
Linking options:
  • https://www.mathnet.ru/eng/tm326
  • https://www.mathnet.ru/eng/tm/v237/p123
    • This publication is cited in the following 14 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Òðóäû Ìàòåìàòè÷åñêîãî èíñòèòóòà èìåíè Â. À. Ñòåêëîâà Proceedings of the Steklov Institute of Mathematics
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024