UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
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Publication:3523582
DOI10.1142/S0219024901001073zbMath1153.91455MaRDI QIDQ3523582
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
nonlinear partial differential equation; uncertain volatility; gamma diversification; volatility spreads
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
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