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No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option
Mercken, Roger; Motmans, Lisette; Houben, Ghislain - In: EuroEconomica (2010) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10008697872
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Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
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Modellrisiko bei der Bewertung von Optionen in einem Vergleich von Modellen mit stochastischer Volatilität
Ender, Manuela - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003652604
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Empirischer Vergleich von Optionspreismodellen auf Basis Zeitdeformierter Lévy-Prozesse : Kalibrierung, Hedging, Modellrisiko
Dahlbokum, Achim - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432982
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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
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Uncovering the distribution of option implied risk aversion
Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
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Mean-reverting stock model with floating interest rate in uncertain environment
Sun, Yiyao; Su, Taoyong - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 2, pp. 235-255
Persistent link: https://www.econbiz.de/10011805601
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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
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001