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scientific article; zbMATH DE number 1795849
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scientific article; zbMATH DE number 1795849

    Statements

    author
    Rüdiger Frey
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    Pierre Patie
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    publication date
    15 January 2003
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    zbMATH Keywords
    option hedging
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    volatility
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    illiquid markets
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    nonlinear Black-Scholes equation
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    simulation study
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91B30
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    91B26
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    zbMATH DE Number
    1795849
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