Rational hedging with a diversity of implied volatilities

DOI10.3934/fmf.2024009MaRDI QIDQ6643152

King-Hang Wang, Dilip B. Madan

Publication date: 26 November 2024

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

acceptability indexdistorted expectationsconvexity correctionLaplace implied volatility

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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