Option pricing and stochastic optimization

DOI10.1007/978-3-031-17820-7_28OpenAlexW3033803363MaRDI QIDQ6193474

Serhii Tyshchenko, Nataliya Yu. Shchestyuk

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10630/19353

zbMATH Keywords

value-at-riskpayoff functionEuropean option

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A normal inverse Gaussian model for a risky asset with dependence
• Coherent Measures of Risk
• Student-like models for risky asset with dependence
• Student processes

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