A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE

DOI10.1142/S0219024905003165zbMath1102.91056OpenAlexW2025522621MaRDI QIDQ5696298

J. R. Soběhart

Publication date: 18 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003165

zbMATH Keywords

perturbation analysisoptions pricingmarket uncertaintytrading noise

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• UNCERTAINTY IN PRICING TRADABLE OPTIONS

This page was built for publication: A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE