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The pricing of options in a financial market model with transaction costs and uncertain volatility
Dokučaev, Nikolaj G.; Savkin, Andrey V. - In: Journal of multinational financial management 8 (1998) 2, pp. 353-364
Persistent link: https://www.econbiz.de/10001339134
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A Bounded Risk Strategy for a Market with Non-Observable Parameters
Dokuchaev, Nikolai - 2002
The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...
Persistent link: https://www.econbiz.de/10012740905
Cover Image
A Bounded Risk Strategy for a Market with Non-Observable Parameters
Dokuchaev, Nikolai - 2002
The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...
Persistent link: https://www.econbiz.de/10012787134