Vulnerable options pricing under uncertain volatility model (Q2068116): Difference between revisions

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Latest revision as of 17:53, 30 July 2024

scientific article
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Vulnerable options pricing under uncertain volatility model
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    Vulnerable options pricing under uncertain volatility model (English)
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    19 January 2022
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    uncertain volatility model
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    vulnerable option
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    nonlinear Black-Scholes-Barenblatt partial differential equation
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    stochastic control
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