OPTION BETAS: RISK MEASURES FOR OPTIONS

DOI10.1142/S0219024907004585zbMATH Open1152.91486OpenAlexW1979531527MaRDI QIDQ3498239FDOQ3498239

Authors: Nicole Branger, Christian Schlag 

Publication date: 28 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004585

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The pricing of options and corporate liabilities

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