Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility (Q2375368)
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scientific article; zbMATH DE number 6175678
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| English | Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility |
scientific article; zbMATH DE number 6175678 |
Statements
Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility (English)
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13 June 2013
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set-valued stochastic differential inclusion
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martingale measures
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maximal and minimal conditional expectations
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bounds of option prices
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0.9591212272644044
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0.753718912601471
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0.7390338182449341
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0.7315124273300171
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0.7299509644508362
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