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Stochastic processes in financial mathematics (continuous time)

  • Dmytro Gusak
  • Alexander Kukush
  • Alexey Kulik
  • Yuliya Mishura
  • Andrey Pilipenko
Chapter
Part of the Problem Books in Mathematics book series (PBM)

Abstract

In the framework of an arbitrage-free market and the Black–Scholes model consider two European call options with the same strike price and on the same underlying asset. Is it true that the option with a longer time to maturity has a larger arbitrage-free price? What can you say in this connection concerning a European put option?

Keywords

Stock Price Wiener Process Call Option Contingent Claim Martingale Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Dmytro Gusak
    • 1
  • Alexander Kukush
    • 2
  • Alexey Kulik
    • 1
  • Yuliya Mishura
    • 3
  • Andrey Pilipenko
    • 1
  1. 1.Institute of Mathematics of Ukrainian National Academy of SciencesKyivUkraine
  2. 2.Department of Mathematical Analysis Faculty of Mechanics and MathematicsNational Taras Shevchenko University of KyivKyivUkraine
  3. 3.Department of Probability Theory and Mathematical Statistics Faculty of Mechanics and MathematicsNational Taras Shevchencko University of KyivKyivUkraine

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