Arbitrage-free market models for liquid options

Metadata Label Value
Author(s): Wissel, Johannes Stefan
Publisher: ETH
Citation:

Wissel, Johannes Stefan. Arbitrage-free market models for liquid options. ETH (2008). http://dx.doi.org/10.3929/ethz-a-005559619

Document Type: Doctoral and Habilitation Theses  
Documents: Abstract (291.13KB), Fulltext (8.25MB)
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Detailed Information

Metadata Description
Title Arbitrage-free market models for liquid options
Author(s) Wissel, Johannes Stefan
Publication Place Zürich
Publisher ETH
Publication Date 2008
Notes Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 17538, 2008
Language English
DOI http://dx.doi.org/10.3929/ethz-a-005559619
Subject(s) Operations Research
Mathematical Statistics
Keyword(s) OPTIONS
STOCK EXCHANGE
OPTION PRICING
ARBITRAGE THEORY
MODELING OF SPECIFIC ASPECTS OF THE ECONOMY
STOCHASTIC MODELS
STOCHASTIC SIMULATION
PROBABILITY THEORY
STOCHASTIC DIFFERENTIAL EQUATIONS
Description File Name MIME Type Size
Abstract   eth-30171-01.pdf application/pdf 291.13KB
Fulltext   eth-30171-02.pdf application/pdf 8.25MB
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E-Collection record created: Sat, 19 Apr 2008, 05:46:43 CET