scientific article; zbMATH DE number 6027054

zbMath1249.62013MaRDI QIDQ5389840

Berend Roorda, Johannes M. Schumacher, Jacob Christiaan Engwerda

Publication date: 23 April 2012

Full work available at URL: https://eudml.org/doc/33775

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

robustnessoption pricingdelta hedginguncertain volatilitybinomial tree martingale measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A robust hedging algorithm
• Coherent Measures of Risk
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Option pricing: A simplified approach
• Unnamed Item
• Unnamed Item