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scientific article; zbMATH DE number 6027054
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scientific article; zbMATH DE number 6027054

    Statements

    author
    Berend Roorda
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    Johannes M. Schumacher
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    publication date
    23 April 2012
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    zbMATH Keywords
    uncertain volatility
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    robustness
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    option pricing
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    delta hedging
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    binomial tree martingale measure
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    91G70
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    91G20
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    60G99
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    zbMATH DE Number
    6027054
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