An introduction to option pricing and the mathematical theory of risk

DOI10.1007/BF02930502MaRDI QIDQ4429201zbMATHOpenAlexFDO

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

zbMATH Keywords

option pricingBlack-Scholes formularisk-managing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Calibrating volatility surfaces via relative-entropy minimization
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• European Option Pricing with Transaction Costs
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Martingales and arbitrage in multiperiod securities markets
• Pricing and hedging derivative securities in markets with uncertain volatilities
• The pricing of options and corporate liabilities

Cited in

(7)

• The options: a tool to control the risk and to handle the uncertainty of the markets
• scientific article; zbMATH DE number 2010131 (Why is no real title available?)
• scientific article; zbMATH DE number 4016550 (Why is no real title available?)
• Non-linear expectations in spaces of Colombeau generalized functions
• General framework for pricing derivative securities
• scientific article; zbMATH DE number 5852050 (Why is no real title available?)
• An Introduction to Financial Option Valuation

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