Financial markets with volatility uncertainty
From MaRDI portal
Publication:406259
DOI10.1016/j.jmateco.2014.05.008zbMath1305.91232arXiv1012.1535OpenAlexW2257767690MaRDI QIDQ406259
Publication date: 8 September 2014
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.1535
incomplete marketsvolatility uncertainty\(G\)-Brownian motion stochastic calculuspricing of contingent claims
Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)
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