Pricing and hedging in incomplete markets with model uncertainty
From MaRDI portal
Publication:2286877
DOI10.1016/j.ejor.2019.09.054zbMath1431.91351WikidataQ127178376 ScholiaQ127178376MaRDI QIDQ2286877
Antoon Pelsser, Anne G. Balter
Publication date: 23 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.09.054
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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