HEDGING STRATEGY WITH LANGEVIN EVOLUTION
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Publication:4522661
DOI10.1142/S0219024900000553zbMath0970.91021OpenAlexW2113465104MaRDI QIDQ4522661
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Publication date: 23 October 2001
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024900000553
Cites Work
- Stable Infinite Variance Fluctuations in Randomly Amplified Langevin Systems
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness