Concepedia

Model-independent Pricing

Model-Independent Pricing is a derivative pricing methodology that, unlike model-dependent approaches, relies solely on arbitrage principles and observed market data to determine price bounds or exact values without assuming a specific stochastic process for the underlying asset dynamics.

16

Publications

1K

Citations

33

Authors

25

Institutions

Publications per year

2017–2026

5

Variants

Model-free Derivative PricingModel-free Pricing

Parents

Publications

16

MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH

2016 · 364 citations

, , +16

Irregularity, volatility, risk, and financial market time series

Steve Pincus, R. E. Kalman · Proceedings of the National Academy of Sciences · 2004 · 182 citations · Full text

, , +17

A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM

Beatrice Acciaio, Mathias Beiglböck, Friedrich Penkner et al. · Mathematical Finance · 2013 · 171 citations

, , +13

Calculating Prices and Sensitivities for Path-Independent Derivatives Securities in Multifactor Models

Gregory A. Willard · The Journal of Derivatives · 1997 · 87 citations

, , +14

A model-independent measure of aggregate idiosyncratic risk

Turan G. Bali, Nusret Cakici, Haim Levy · Journal of Empirical Finance · 2008 · 41 citations

, , +13

1–5 of 16

Authors

33

  1. MB
    Mathias Beiglböck

    University of Vienna, Austria

    4 publications · 234 citations

    4

    h-index

  2. FP
    Friedrich Penkner

    University of Vienna, Austria

    3 publications · 203 citations

    3

    h-index

  3. NC
    Nusret Cakici

    Fordham University, United States

    2 publications · 57 citations

    2

    h-index

  4. HL
    Haim Levy

    Hebrew University of Jerusalem, Israel

    2 publications · 57 citations

    2

    h-index

  5. BA
    Beatrice Acciaio

    University of Perugia, Italy

    2 publications · 186 citations

    2

    h-index

1–5 of 33

Institutions

25

  1. University of Vienna

    Vienna, Austria

    4 h-index

    11 publications

    1.1K citations

  2. University of Perugia

    Perugia, Italy

    2 h-index

    2 publications

    186 citations

  3. Hebrew University of Jerusalem

    Jerusalem, Israel

    2 h-index

    2 publications

    57 citations

  4. University of Bath

    Bath, United Kingdom

    2 h-index

    3 publications

    57 citations

  5. ETH Zurich

    Zurich, Switzerland

    2 h-index

    2 publications

    45 citations

  6. Koç University

    Istanbul, Türkiye

    1 h-index

    1 publications

    41 citations

  7. University of Oxford

    Oxford, United Kingdom

    1 h-index

    2 publications

    28 citations

  8. Dr. Reddy's Laboratories (India)

    Hyderabad, India

    1 h-index

    4 publications

    112 citations

1–8 of 25

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 60 citations

    4

    h-index

  2. Mathematical Finance

    2 publications · 184 citations

    2

    h-index

  3. AAPS PharmSciTech

    1 publications · 28 citations

    1

    h-index

  4. The Journal of Derivatives

    1 publications · 87 citations

    1

    h-index

  5. Journal of Empirical Finance

    1 publications · 41 citations

    1

    h-index

1–5