scientific article; zbMATH DE number 1150529

MaRDI QIDQ4388788zbMATH OpenFDO

Authors Jesper Andreasen

Publication date 10 May 1998

zbMATH Keywords

Black-Scholes formulahedgingoptionspricing

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Economic growth models (91B62)

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Cited in

(4)

• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• scientific article; zbMATH DE number 4016550 (Why is no real title available?)
• Valeur maximale d'un droit d'option a prix ferme
• Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

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