Model Uncertainty in Commodity Markets
From MaRDI portal
Publication:3465256
DOI10.1137/15M1027243zbMath1330.91179MaRDI QIDQ3465256
Zhen Qin, Álvaro Cartea, Sebastian Jaimungal
Publication date: 21 January 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
optimal controlcertainty equivalentambiguity aversionKnightian uncertaintyrobust pricingcommoditiesindifference pricing
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving partial differential equations (49J20)
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