The sustainable Black-Scholes equations

DOI10.1007/978-3-319-66536-8_8zbMath1417.91436OpenAlexW2765863012MaRDI QIDQ1622632

Yannick Armenti, Chao Zhou, Stéphane Crépey

Publication date: 19 November 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-66536-8_8

zbMATH Keywords

model riskvolatility uncertaintymarket incompletenesscost of capital (KVA)cost of funding (FVA)optimal martingale transport

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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