Option pricing via maximization over uncertainty and correction of volatility smile
Nikolai Dokuchaev
| Year of publication: |
2011
|
|---|---|
| Authors: | Dokučaev, Nikolaj G. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 4, p. 507-524
|
| Subject: | Diffusion market model | volatility smile | stochastic volatility | uncertain volatility | Hamilton–Jacobi–Bellman equation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risiko | Risk |
| 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://ebvufind01.dmz1.zbw.eu/10009269369