Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
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Publication:2253520
DOI10.1016/j.ejor.2012.10.015zbMath1292.91175OpenAlexW2039915043MaRDI QIDQ2253520
Publication date: 27 July 2014
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.10.015
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Commodity derivatives pricing with cointegration and stochastic covariances ⋮ Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ A practical finite difference method for the three-dimensional Black-Scholes equation ⋮ The pricing kernel puzzle: survey and outlook ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing ⋮ Pricing and hedging in incomplete markets with model uncertainty
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