Financial markets with volatility uncertainty
Year of publication: |
2010
|
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Authors: | Vorbrink, Jörg |
Publisher: |
Bielefeld : Bielefeld University, Institute of Mathematical Economics (IMW) |
Subject: | Optionspreistheorie | Finanzmarkt | Unvollkommener Markt | Börsenkurs | Volatilität | Stochastischer Prozess | Theorie | pricing of contingent claims | incomplete markets | volatility uncertainty | G-Brownian motion stochastic calculus |
Series: | Working Papers ; 441 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 641048238 [GVK] hdl:10419/43819 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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