Quantifying risks with exact analytical solutions of derivative pricing distribution

DOI10.1016/j.physa.2016.12.044zbMath1400.91625OpenAlexW2561742576MaRDI QIDQ1620497

R. Smith

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.12.044

zbMATH Keywords

distributionoption pricingrisk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance

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