Implications of parameter uncertainty on option prices

DOI10.1155/2010/598103zbMath1195.91161OpenAlexW1970945342WikidataQ58650288 ScholiaQ58650288MaRDI QIDQ1958422

Erik Lindström

Publication date: 29 September 2010

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/227044

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Capturing parameter risk with convex risk measures, A regularized bridge sampler for sparsely sampled diffusions

Uses Software

• ElemStatLearn

Cites Work

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