Cover Image

Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules

Fuente: Wiley Open Access

Saved in:

Bibliographic Details
Main Authors:	Lorenzo Bastianello, Alain Chateauneuf, Bernard Cornet
Format:	Artículo Open Access
Published:	Wiley 2024
Subjects:	Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

An arbitrage driven price dynamics of Automated Market Makers in the presence of fees
by: Najnudel, Joseph, et al.
Published: (2024)

$ρ$-arbitrage and $ρ$-consistent pricing for star-shaped risk measures
by: Herdegen, Martin, et al.
Published: (2022)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
by: Floc'h, Fabien Le
Published: (2023)

No arbitrage and multiplicative special semimartingales
by: Platen, Eckhard, et al.
Published: (2020)

Exploiting arbitrage requires short selling
by: Platen, Eckhard, et al.
Published: (2020)

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024)

No-arbitrage concepts in topological vector lattices
by: Platen, Eckhard, et al.
Published: (2020)

Yield Curves Dynamics Using Variational Autoencoders Under No-arbitrage
by: Luo, Fusheng, et al.
Published: (2026)

On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

Neural networks can detect model-free static arbitrage strategies
by: Neufeld, Ariel, et al.
Published: (2023)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

Detecting data-driven robust statistical arbitrage strategies with deep neural networks
by: Neufeld, Ariel, et al.
Published: (2022)

Closed-form solutions for generic N-token AMM arbitrage
by: Willetts, Matthew, et al.
Published: (2024)

Swing contract pricing: with and without Neural Networks
by: Lemaire, Vincent, et al.
Published: (2023)

Collective completeness and pricing hedging duality
by: Doldi, Alessandro, et al.
Published: (2025)

A multifractional option pricing formula
by: Araneda, Axel A.
Published: (2023)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
by: Aquino, Luca De Gennaro, et al.
Published: (2024)

The P behind Q: Empirical Evidence from Physical Drift in Put-Call Parity
by: Shin, Useong
Published: (2026)

Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals
by: Shin, Useong
Published: (2026)

Asian option valuation under price impact
by: Tiwari, Priyanshu, et al.
Published: (2025)

The fundamental theorem of asset pricing with and without transaction costs
by: Christoph Kühn
Published: (2024)

On robust fundamental theorems of asset pricing in discrete time
by: Chau, Huy N.
Published: (2020)

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
by: Jaber, Eduardo Abi, et al.
Published: (2022)

Asset pricing under model uncertainty with discrete time and states
by: Yang, Shuzhen, et al.
Published: (2024)

A market resilient data-driven approach to option pricing
by: Goswami, Anindya, et al.
Published: (2024)

Semi-analytical pricing of options written on SOFR futures
by: Itkin, Andrey, et al.
Published: (2024)

Option pricing model under the G-expectation framework
by: Pei, Ziting, et al.
Published: (2026)

An analysis of linear regression and neural networks approximation for the pricing of swing options
by: Yeo, Christian
Published: (2023)

A G-BSDE approach to the long-term decomposition of robust pricing kernels
by: Kim, Jaehyun, et al.
Published: (2024)

Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery
by: Leung, Tim, et al.
Published: (2024)

Robust utility maximisation under proportional transaction costs for càdlàg price processes
by: Czichowsky, Christoph, et al.
Published: (2022)

Option pricing in Sandwiched Volterra Volatility model
by: Di Nunno, Giulia, et al.
Published: (2022)

Optimal execution on Uniswap v2/v3 under transient price impact
by: Baude, Bastien, et al.
Published: (2026)

Discrete-time asset price bubbles with short sales prohibitions under model uncertainty
by: Zhang, Wenqing
Published: (2025)

Option pricing under non-Markovian stochastic volatility models: A deep signature approach
by: Ma, Jingtang, et al.
Published: (2025)

Discrete approximation of risk-based prices under volatility uncertainty
by: Blessing, Jonas, et al.
Published: (2024)

An Optimal Transport approach to arbitrage correction: application to Volatility Stress-Tests
by: Chevallier, Marius, et al.
Published: (2025)

Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
by: Woo, Jeechul, et al.
Published: (2018)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
by: Itkin, Andrey
Published: (2023)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
by: Łabędzki, Mikołaj
Published: (2025)