Mahayni, Antje; Schlögl, Erik - In: BuR - Business Research 1 (2008) 1, pp. 55-76
, defined-contribution pension plans, life-insurance, uncertain
volatility, conservative pricing, robust hedging, model … versa for concave payoffs).5 Building
on the Uncertain Volatility Model of Avellaneda,
Levy and Par�s (1995) and Lyons (1995 … lifted and the more real-
istic case of uncertain volatility is considered, as
will be done from the next section onwards.
3 …