Option pricing and stochastic optimization

DOI10.1007/978-3-031-17820-7_28MaRDI QIDQ6193474zbMATH OpenOpenAlexFDO

Authors Nataliya Yu. Shchestyuk, Serhii Tyshchenko

Publication date 16 March 2024

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10630/19353

zbMATH Keywords

European optionpayoff functionvalue-at-risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

Recommendations

• Robust option pricing
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
• Option Pricing Under Incompleteness and Stochastic Volatility
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

Cites work

• A normal inverse Gaussian model for a risky asset with dependence
• Coherent measures of risk
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• Modeling, measuring and managing risk
• Student processes
• Student-like models for risky asset with dependence
• The pricing of options and corporate liabilities

Cited in

(2)

• Subdiffusive option price model with inverse Gaussian subordinator
• Risk evaluating for subdiffusive option price model with gamma subordinator

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