Conic quantization: stochastic volatility and market implied liquidity

DOI10.1080/14697688.2019.1687928zbMath1467.91183OpenAlexW2993645194MaRDI QIDQ4991041

Lucio Fiorin, Wim Schoutens

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/647782

zbMATH Keywords

conic finance theory of two pricesmarket implied liquiditypricing of European options under stochastic volatility

Mathematics Subject Classification ID

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

Related Items (2)

Conditional coherent risk measures and regime-switching conic pricing ⋮ Quantization goes polynomial

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