Variations of the Cox-Ross-Rubinstein model -- conservative pricing strategies

DOI10.1007/S001860100126zbMath1052.91040OpenAlexW1974051345MaRDI QIDQ1396990

Marcus Wrede, Norbert Schmitz

Publication date: 15 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860100126

zbMATH Keywords

balayageriskdecreasing volatilityoverhedge

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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