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Gain-loss pricing under ambiguity of measure - MaRDI portal

Gain-loss pricing under ambiguity of measure (Q5189212)

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scientific article; zbMATH DE number 5678716
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English
Gain-loss pricing under ambiguity of measure
scientific article; zbMATH DE number 5678716

    Statements

    title
    Gain-loss pricing under ambiguity of measure (English)
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    publication date
    9 March 2010
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    zbMATH Keywords
    contingent claim
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    pricing
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    gain-loss ratio
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    hedging
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    martingales
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    stochastic programming
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    risk measures
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    describes a project that uses
    PATH Solver
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    GAMS
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    cites work
    Q5539510
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    Q3260839
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    Q3757846
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    Q4050397
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    Q5201296
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    Identifiers

    DOI
    10.1051/cocv:2008068
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    Mathematics Subject Classification ID
    91G20
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    91B25
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    90C15
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    90C90
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    zbMATH DE Number
    5678716
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    OpenAlex ID
    W2106020894
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