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The pricing of options in a financial market model with transaction costs and uncertain volatility
Dokučaev, Nikolaj G.; Savkin, Andrey V. - In: Journal of multinational financial management 8 (1998) 2, pp. 353-364
Persistent link: https://www.econbiz.de/10001339134
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A Bounded Risk Strategy for a Market with Non-Observable Parameters
Dokuchaev, Nikolai - 2002
The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...
Persistent link: https://www.econbiz.de/10012787134
Cover Image
A Bounded Risk Strategy for a Market with Non-Observable Parameters
Dokuchaev, Nikolai - 2002
The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same...
Persistent link: https://www.econbiz.de/10012740905
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A bounded risk strategy for a market with non-observable parameters
Dokuchaev, Nikolai G.; Savkin, Andrey V. - In: Insurance: Mathematics and Economics 30 (2002) 2, pp. 243-254
Persistent link: https://www.econbiz.de/10005380545
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Universal strategies for diffusion markets and possibility of asymptotic arbitrage
Dokuchaev, N. G.; Savkin, Andrey V. - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 409-419
Persistent link: https://www.econbiz.de/10005380692
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Universal strategies for diffusion markets and possibility of asymptotic arbitrage
Dokuchaev, N.G.; Savkin, Andrey V. - In: Insurance / Mathematics & economics 34 (2004) 3, pp. 409-420
Persistent link: https://www.econbiz.de/10006881929
Cover Image
A bounded risk strategy for a market with non-observable parameters
Dokuchaev, Nikolai G.; Savkin, Andrey V. - In: Insurance / Mathematics & economics 30 (2002) 2, pp. 243-254
Persistent link: https://www.econbiz.de/10006896008
Cover Image
The pricing of options in a financial market model with transaction costs and uncertain volatility
Dokuchaevi, Nikolai G.; Savkin, Andrey V. - In: Journal of multinational financial management 8 (1998) 2, pp. 353
Persistent link: https://www.econbiz.de/10007125328
Cover Image
The pricing of options in a financial market model with transaction costs and uncertain volatility
Dokuchaev, Nikolai G.; Savkin, Andrey V. - In: Journal of Multinational Financial Management 8 (1998) 2-3, pp. 353-364
Persistent link: https://www.econbiz.de/10005108705