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~subject:"Black-Scholes-Modell"
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Black-Scholes-Modell
uncertain volatility
20
Volatilität
14
Optionspreistheorie
12
Option pricing theory
11
Volatility
11
Black-Scholes model
10
Stochastischer Prozess
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conservative pricing
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defined-contribution pension plans
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Theorie
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Uncertain volatility
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game option
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interest rate risk
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model misspecification
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Derivat
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Hedging
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Minimum return guarantee
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Option trading
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Uncertain Volatility Model
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Uncertain volatility model
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minimum return guarantee
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stochastic volatility
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Additional hedge instrument
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American options
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Backward stochastic differential equations
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Black-Scholes delta hedging
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Budke, Albrecht
1
Dokučaev, Nikolaj G.
1
Drakos, Stefanos
1
Ehrhardt, Matthias
1
Fan, Yulian
1
Fang, Shaomei
1
Guo, Changhong
1
Günther, Michael
1
He, Yong
1
Kossaczký, Igor
1
Le Floc'h, Fabien
1
Muhle-Karbe, Johannes
1
Nutz, Marcel
1
Sahar, Saoud
1
Takahashi, Akihiko
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Tsuzuki, Yukihiro
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Yamazaki, Akira
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Zaineb, El Kharrazi
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International journal of theoretical and applied finance
3
International journal of financial engineering
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The journal of computational finance
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ECONIS (ZBW)
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1
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
3
Double barrier American put option pricing under
uncertain
volatility
model
Zaineb, El Kharrazi
;
Sahar, Saoud
;
Zouhir, Mahani
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012662317
Saved in:
4
The two-dimensional tree-grid method
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
Saved in:
5
A risk-neutral equilibrium leading to
uncertain
volatility
pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
6
Finite difference methods for the non-linear Black-Scholes-Barenblatt equation
Budke, Albrecht
-
2013
Persistent link: https://www.econbiz.de/10010528523
Saved in:
7
The pricing of average options with jump diffusion processes in the
uncertain
volatility
model
Fan, Yulian
;
Zhang, Huadong
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011673109
Saved in:
8
Uncertain
volatility
derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
9
Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
Saved in:
10
Hedging European derivatives with the polynomial variance swap under
uncertain
volatility
environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
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