Robust option pricing
Chaithanya Bandi; Dimitris Bertsimas
| Year of publication: |
2014
|
|---|---|
| Authors: | Bandi, Chaithanya ; Bertsimas, Dimitris |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 239.2014, 3 (16.12.), p. 842-853
|
| Subject: | Option pricing | Robust optimization | American option | Volatility smile | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Optionsgeschäft | Option trading | Robustes Verfahren | Robust statistics | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010411468