The black scholes barenblatt equation for options with uncertain volatility and its application to static hedging
Year of publication: |
2006
|
---|---|
Authors: | Meyer, Gunter H. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 5, p. 673-703
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility | Hedging | Theorie | Theory |
-
Exact superreplication strategies for a class of derivative assets
Vanden, Joel M., (2006)
-
Zum Hedging europäischer Aktienoptionen bei stochastischen Volatilitäten
Holtrode, Rainer, (2000)
-
Analyse der Effektivität von Absicherungsstrategien in unvollständigen Finanzmarktmodellen
Dudenhausen, Antje, (2001)
- More ...
-
Pricing American options under stochastic volatility and jump-diffusion dynamics
Chiarella, Carl, (2008)
-
Chiarella, Carl, (2009)
-
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl, (2010)
- More ...