The interpolation of options
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Publication:1424718
DOI10.1007/s007800200093zbMath1035.60071OpenAlexW2088673403MaRDI QIDQ1424718
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200093
Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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Robust estimation of superhedging prices ⋮ Discretization error of stochastic integrals ⋮ Implied and realized volatility: empirical model selection ⋮ Financial options and statistical prediction intervals ⋮ Hedging with small uncertainty aversion ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Combining statistical intervals and market prices: the worst case state price distribution
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