Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
type: Item
instance of: scholarly article
title: Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
zbMATH Open document ID: 1292.91175
author: Yanyan Li
published in: European Journal of Operational Research
publication date: 2014-07-27T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6321954
zbMATH Keywords: incomplete markets
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: CIR process
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: good-deal bounds
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.10.015
OpenAlex ID: W2039915043
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DOI: 10.1016/J.EJOR.2012.10.015
description: scientific article