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Applied Mathematical Finance Volume 27, 2020 - Issue 5
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Research Article

Detecting and Repairing Arbitrage in Traded Option Prices

Samuel N. CohenMathematical Institute, University of Oxford, Oxford, UKCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-0539-6414View further author information
ORCID Icon,
Christoph ReisingerMathematical Institute, University of Oxford, Oxford, UKORCID Iconhttps://orcid.org/0000-0003-4027-5298View further author information
ORCID Icon &
Sheng WangMathematical Institute, University of Oxford, Oxford, UKORCID Iconhttps://orcid.org/0000-0001-5584-0486View further author information
ORCID Icon
Pages 345-373 | Received 21 Aug 2020, Accepted 27 Oct 2020, Published online: 08 Feb 2021

Citations (10)

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Read on this site (3)

Rama Cont & Milena Vuletić. (2023) Simulation of Arbitrage-Free Implied Volatility Surfaces. Applied Mathematical Finance 30:2, pages 94-121.
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A. Mingone. (2022) No arbitrage global parametrization for the eSSVI volatility surface. Quantitative Finance 22:12, pages 2205-2217.
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Samuel N. Cohen, Christoph Reisinger & Sheng Wang. (2022) Hedging Option Books Using Neural-SDE Market Models. Applied Mathematical Finance 29:5, pages 366-401.
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Articles from other publishers (7)

Julian Sester. (2023) On intermediate marginals in martingale optimal transportation. Mathematics and Financial Economics 17:4, pages 615-654.
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Jacky Chen, John C. Hull, Zissis Poulos, Haris Rasul, Andreas Veneris & Yuntao Wu. (2023) A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces. SSRN Electronic Journal.
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Rama Cont & Milena Vuletić. (2023) Simulation of Arbitrage-Free Implied Volatility Surfaces. SSRN Electronic Journal.
Crossref
Samuel N. Cohen, Christoph Reisinger & Sheng Wang. (2022) Hedging Option Books Using Neural-SDE Market Models. SSRN Electronic Journal.
Crossref
Arianna Mingone. (2022) No arbitrage global parametrization for the eSSVI volatility surface. SSRN Electronic Journal.
Crossref
Samuel N. Cohen, Christoph Reisinger & Sheng Wang. (2021) Arbitrage-Free Neural-SDE Market Models. SSRN Electronic Journal.
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Samuel N. Cohen, Derek Snow & Lukasz Szpruch. (2021) Black-Box Model Risk in Finance. SSRN Electronic Journal.
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