Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility
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Publication:2375368
DOI10.1016/J.IJAR.2012.05.005zbMath1266.91111OpenAlexW1970832098MaRDI QIDQ2375368
Publication date: 13 June 2013
Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ijar.2012.05.005
martingale measuresbounds of option pricesmaximal and minimal conditional expectationsset-valued stochastic differential inclusion
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