On Feedback Effects from Hedging Derivatives
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Publication:4213033
DOI10.1111/1467-9965.00045zbMath0908.90016OpenAlexW2152554345MaRDI QIDQ4213033
Eckhard Platen, Martin Schweizer
Publication date: 29 November 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00045
stochastic volatilityoption pricingstochastic differential equationshedging strategiesBlack-Scholes formuladiffusion model for stock pricessmile and skewness effects
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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