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Cox-Ross-Rubinstein
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balayage
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decreasing volatility
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overhedge
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risk
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Undetermined
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Schmitz, Norbert
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Wrede, Marcus
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Computational Statistics
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Mathematical Methods of Operations Research
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Variations of the Cox-Ross-Rubinstein model – conservative pricing strategies
Wrede, Marcus
;
Schmitz, Norbert
- In:
Mathematical Methods of Operations Research
53
(
2001
)
3
,
pp. 505-515
strategies. Moreover, we prove that for binomial models with
decreasing
volatility
the initial price enables the seller of an …
Persistent link: https://www.econbiz.de/10010950344
Saved in:
2
Variations of the Cox-Ross-Rubinstein model – conservative pricing strategies
Wrede, Marcus
;
Schmitz, Norbert
- In:
Computational Statistics
53
(
2001
)
3
,
pp. 505-515
strategies. Moreover, we prove that for binomial models with
decreasing
volatility
the initial price enables the seller of an …
Persistent link: https://www.econbiz.de/10010759559
Saved in:
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