Robust option replication for a Black-Scholes model extended with nondeterministic trends.
Schoenmakers, John G.M.; Kloeden, Peter E.
Journal of Applied Mathematics and Stochastic Analysis (1999)
- Volume: 12, Issue: 2, page 113-120
- ISSN: 2090-3332
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topSchoenmakers, John G.M., and Kloeden, Peter E.. "Robust option replication for a Black-Scholes model extended with nondeterministic trends.." Journal of Applied Mathematics and Stochastic Analysis 12.2 (1999): 113-120. <http://eudml.org/doc/48564>.
@article{Schoenmakers1999,
author = {Schoenmakers, John G.M., Kloeden, Peter E.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {Black-Scholes models; long range behavior; null quadratic variation process},
language = {eng},
number = {2},
pages = {113-120},
publisher = {Hindawi Publishing Corporation, New York},
title = {Robust option replication for a Black-Scholes model extended with nondeterministic trends.},
url = {http://eudml.org/doc/48564},
volume = {12},
year = {1999},
}
TY - JOUR
AU - Schoenmakers, John G.M.
AU - Kloeden, Peter E.
TI - Robust option replication for a Black-Scholes model extended with nondeterministic trends.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 1999
PB - Hindawi Publishing Corporation, New York
VL - 12
IS - 2
SP - 113
EP - 120
LA - eng
KW - Black-Scholes models; long range behavior; null quadratic variation process
UR - http://eudml.org/doc/48564
ER -
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