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

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: The valuation and behavior of Black-Scholes options subject to intertemporal default risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Credit risk valuation. Methods, models, and applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5716669 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3641497 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5872281 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uncertain volatility and the risk-free synthesis of derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and hedging derivative securities in markets with uncertain volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial markets with volatility uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical convergence properties of option pricing PDEs with uncertain volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation for Option Prices under Uncertain Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3910361 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank

Revision as of 18:03, 27 July 2024

scientific article
Language Label Description Also known as
English
Vulnerable options pricing under uncertain volatility model
scientific article

    Statements

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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references