Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Vassili N. Kolokoltsov
| Year of publication: |
2013
|
|---|---|
| Authors: | Kolokolʹcov, Vassilij N. |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 4.2013, 3, p. 131-161
|
| Subject: | Robust control | extreme points of risk neutral probabilities | sub-modular payoffs | dominated hedging | super-replication | transaction cost | incomplete market | rainbow options | American options | nonlinear Black-Scholes equation | fractional Black-Scholes equation | Black-Scholes-Modell | Black-Scholes model | Hedging | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Optionsgeschäft | Option trading | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190161