Robust option pricing : Hannan and Blackwell meet Black and Scholes
Peter M. DeMarzo, Ilan Kremer, Yishay Mansour
| Year of publication: |
May 2016
|
|---|---|
| Authors: | DeMarzo, Peter M. ; Kremer, Ilan ; Mansour, Yishay |
| Published in: |
Journal of economic theory. - Amsterdam : Elsevier, ISSN 0022-0531, ZDB-ID 410539-4. - Vol. 163.2016, p. 410-434
|
| Subject: | Approachability | Calibration | Regret minimization | Robust optimization | Option pricing | Arbitrage bounds | Optionspreistheorie | Option pricing theory | Robustes Verfahren | Robust statistics | Black-Scholes-Modell | Black-Scholes model | Arbitrage | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jet.2016.01.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011593386