scientific article; zbMATH DE number 5504674

MaRDI QIDQ3597731zbMATH OpenFDO

Authors

Publication date 9 February 2009

zbMATH Keywords

Black Scholes modeleconophysicsfinancial derivativesoption pricingVasicek model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

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• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Option pricing and hedging under stochastic Verhulst-Gompertz equation
• Option pricing and portfolio hedging under the mixed hedging strategy
• Hedging options in the incomplete market with stochastic volatility
• Pricing and hedging option under portfolio constrained
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• The pricing of options on assets with stochastic volatilities

Cited in

(18)

• Malliavin calculus in construction of hedging portfolio for the Heston model of a financial market
• Project pricing with the Black-Scholes-formula
• scientific article; zbMATH DE number 6006809 (Why is no real title available?)
• The risk of Black-Scholes option pricing
• Hedge portfolios and the black-scholes equations
• A multivariate stochastic unit root model with an application to derivative pricing
• A Stochastic Control Approach to the Pricing of Options
• BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
• RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
• A generalized option pricing model
• Generalisation of Black-Scholes model
• Option pricing in the presence of random arbitrage return
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• scientific article; zbMATH DE number 1827980 (Why is no real title available?)
• scientific article; zbMATH DE number 1837671 (Why is no real title available?)
• European option pricing under a modified Black-Scholes model
• Option pricing and hedging under stochastic Verhulst-Gompertz equation

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