On modifications of the Bachelier model
type: Item
instance of: scholarly article
title: On modifications of the Bachelier model
zbMATH Open document ID: 1470.91262
author: Yanyan Li
published in: Annals of Finance
publication date: 2021-08-11T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7380990
zbMATH Keywords: Bachelier model
zbMATH Keywords: SDEs with reflection
zbMATH Keywords: SDEs with absorption
zbMATH Keywords: conditional value-at-risk based hedging
MaRDI profile type: Publication
full work available at URL: s10436-020-00381-1
OpenAlex ID: W3122054283
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DOI: 10.1007/S10436-020-00381-1
description: scientific article; zbMATH DE number 7380990