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Consistency of option prices under bid–ask spreads
Given a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a bid–ask spread. The main question then is how large (in terms...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7155110/ https://www.ncbi.nlm.nih.gov/pubmed/32308259 http://dx.doi.org/10.1111/mafi.12230 |