European Option Pricing with Ambiguous Return Rate and Volatility

DOI10.1007/978-3-642-22833-9_33zbMath1269.91089OpenAlexW118877780MaRDI QIDQ2838670

Junfei Zhang, Shou-mei Li

Publication date: 10 July 2013

Published in: Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22833-9_33

zbMATH Keywords

martingale measuresbounds of option pricesmaximal and minimal conditional expectationsset-valued stochastic differential inclusion

Mathematics Subject Classification ID

Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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