Quantification of risk in classical models of finance

DOI10.1080/14697688.2021.1993613zbMath1484.91488arXiv2004.04397OpenAlexW3216001460MaRDI QIDQ5068069

Ruben Schlotter, Alois Pichler

Publication date: 5 April 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.04397

zbMATH Keywords

optimal controlrisk measuresBlack-Scholes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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