Search Results - subject:"Uncertain volatility model"

Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57

Persistent link: https://www.econbiz.de/10012111259

Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295

Persistent link: https://www.econbiz.de/10011945712

Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63

Persistent link: https://www.econbiz.de/10011543102

Branger, Nicole; Mahayni, Antje - In: Review of Derivatives Research 14 (2011) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10008926020

Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10009272489

Perera, Ryle - In: Applied Mathematical Finance 7 (2000) 4, pp. 271-284

a complete market where equity is not hedged against inflation risk. Avellaneda's uncertain volatility model with non …

Persistent link: https://www.econbiz.de/10005495435

Avellaneda, Marco; Buff, Robert - In: Applied Mathematical Finance 6 (1999) 1, pp. 1-18

Uncertain Volatility Model (UVM) by Avellaneda and Paras finds a one-sided worstcase volatility scenario for the buy resp. sell …

Persistent link: https://www.econbiz.de/10005279071