Journal article
Non-uniqueness of option prices
Insurance, mathematics & economics, Vol.7(1), pp.67-69
1988
DOI: 10.1016/0167-6687(88)90098-4
Abstract
This note shows that, for a stock whose prices follow a general stochastic process, there may be infinitely many option-pricing formulas which are compatible with the stock prices and an assumed risk-free rate of return.
Details
- Title: Subtitle
- Non-uniqueness of option prices
- Creators
- Hans U Gerber - University of LausanneElias S.W Shiu - University of Manitoba
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.7(1), pp.67-69
- Publisher
- Elsevier B.V
- DOI
- 10.1016/0167-6687(88)90098-4
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Language
- English
- Date published
- 1988
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257633902771
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