A risk-neutral equilibrium leading to uncertain volatility pricing
Johannes Muhle-Karbe, Marcel Nutz
| Year of publication: |
April 2018
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|---|---|
| Authors: | Muhle-Karbe, Johannes ; Nutz, Marcel |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 281-295
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| Subject: | Heterogeneous beliefs | Equilibrium | Derivative price bubble | Uncertain volatility model | Nonlinear expectation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Spekulationsblase | Bubbles | Börsenkurs | Share price | Erwartungsbildung | Expectation formation | Derivat | Derivative | Risiko | Risk | Stochastischer Prozess | Stochastic process | CAPM | Black-Scholes-Modell | Black-Scholes model | Rationale Erwartung | Rational expectations |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0356-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945712