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Search: subject:"Black–Scholes–Barenblatt"
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Option pricing theory
3
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uncertain volatility
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2
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Black–Scholes–Barenblatt
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Black.Scholes-Barenblatt
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European options
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Option trading
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Optionsgeschäft
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Uncertain Volatility
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basket options
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double barrier
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early exercise boundary
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monotone
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monotonicity
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multi-dimensional
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optimal control
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Budke, Albrecht
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Di Persio, Luca
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Lavagnoli, Emanuele
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MEYER, GUNTER H.
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Patacca, Marco
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Sahar, Saoud
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Vanden, Joel
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Applied Mathematical Finance
1
International Journal of Theoretical and Applied Finance (IJTAF)
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International journal of financial engineering
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Risks : open access journal
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ECONIS (ZBW)
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Calibrating FBSDEs driven models in finance via NNs
Di Persio, Luca
;
Lavagnoli, Emanuele
;
Patacca, Marco
- In:
Risks : open access journal
10
(
2022
)
12
,
pp. 1-19
financial models in a high dimension. In particular, we consider solving the
Black-Scholes-Barenblatt
non-linear stochastic …
Persistent link: https://www.econbiz.de/10014230888
Saved in:
2
Double barrier American put option pricing under uncertain volatility model
Zaineb, El Kharrazi
;
Sahar, Saoud
;
Zouhir, Mahani
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012662317
Saved in:
3
Finite difference methods for the non-linear
Black-Scholes-Barenblatt
equation
Budke, Albrecht
-
2013
Persistent link: https://www.econbiz.de/10010528523
Saved in:
4
Exact Superreplication Strategies for a Class of Derivative Assets
Vanden, Joel
- In:
Applied Mathematical Finance
13
(
2006
)
1
,
pp. 61-87
the
Black-Scholes-Barenblatt
equation. The subreplication problem and several related extensions, such as option pricing …
Persistent link: https://www.econbiz.de/10005639884
Saved in:
5
THE
BLACK
SCHOLES
BARENBLATT
EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
MEYER, GUNTER H.
- In:
International Journal of Theoretical and Applied …
09
(
2006
)
05
,
pp. 673-703
The
Black
Scholes
Barenblatt
(BSB) equation for the envelope of option prices with uncertain volatility and interest …
Persistent link: https://www.econbiz.de/10005050524
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