Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options (Q4541566)

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scientific article; zbMATH DE number 1771962
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Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
scientific article; zbMATH DE number 1771962

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    Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options (English)
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    4 September 2002
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    worst-case prices
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    portfolio
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    uncertain volatility model
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    barrier options
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    vanilla options
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