scientific article; zbMATH DE number 5885629

MaRDI QIDQ2997410zbMATH OpenFDO

Authors S. S. Soushko

Publication date 6 May 2011

zbMATH Keywords

option pricingBlack-Scholes modeldeterministic moments of parameter changesrandom moments of parameter changes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cited in

(1)

• Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps

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