51 citations · 256 across the 30 of their papers we have counts for
5 papers · 1 filter
A Weak Convergence Criterion Constructing Changes of Measure
Jose Blanchet, Johannes Ruf
Based on a weak convergence argument, we provide a necessary and sufficient condition that guarantees that a nonnegative local martingale is indeed a martingale. Typically, conditi…
Negative Call Prices
Johannes Ruf
We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In parti…
Conditioned Martingales
Nicolas Perkowski, Johannes Ruf
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simpl…
On the Hedging of Options On Exploding Exchange Rates
Peter Carr, Travis Fisher, Johannes Ruf
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward con…
Why are quadratic normal volatility models analytically tractable?
Peter Carr, Travis Fisher, Johannes Ruf
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We chara…