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Q4787536 - MaRDI portal

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scientific article; zbMATH DE number 1849971
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English
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scientific article; zbMATH DE number 1849971

    Statements

    author
    Sheldon M. Ross
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    publication date
    7 January 2003
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    zbMATH Keywords
    option pricing
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    arbitrage theorem
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    Black-Scholes option pricing formula
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    Monte Carlo simulation
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    exotic options
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    geometric Brownian motion model
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    Value at Risk
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    Conditional Value at Risk
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    European call options
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    volatility parameter
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91-01
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    60F05
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    60J65
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    zbMATH DE Number
    1849971
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