An introduction to option pricing and the mathematical theory of risk

DOI10.1007/BF02930502zbMath1037.91044OpenAlexW2004421010MaRDI QIDQ4429201

Marco Avellaneda

Publication date: 24 September 2003

Published in: Rendiconti del Seminario Matematico e Fisico di Milano (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02930502

zbMATH Keywords

option pricingBlack-Scholes formularisk-managing

Mathematics Subject Classification ID

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

Related Items (1)

Non-linear expectations in spaces of Colombeau generalized functions

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization
• European Option Pricing with Transaction Costs
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Unnamed Item

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