Risk Neutral Valuations Based on Partial Probabilistic Information

DOI10.1007/978-3-642-14058-7_19zbMath1200.91288OpenAlexW1848189626MaRDI QIDQ3164107

F. Vattari, Andrea Capotorti, Giuliana Regoli

Publication date: 27 October 2010

Published in: Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-14058-7_19

Mathematics Subject Classification ID

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

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On an implicit assessment of fuzzy volatility in the Black and Scholes environment

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