An introduction to option pricing and the mathematical theory of risk
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Publication:4429201
DOI10.1007/BF02930502zbMATH Open1037.91044OpenAlexW2004421010MaRDI QIDQ4429201FDOQ4429201
Authors: Marco Avellaneda 
Publication date: 24 September 2003
Published in: Rendiconti del Seminario Matematico e Fisico di Milano (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02930502
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Cites Work
- The pricing of options and corporate liabilities
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Pricing and hedging derivative securities in markets with uncertain volatilities
- European Option Pricing with Transaction Costs
- Calibrating volatility surfaces via relative-entropy minimization
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
Cited In (6)
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