The Black Scholes Barenblatt equation for options with uncertain volatility and its application to static hedging

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 5, 2006, Pages 673-703

  Meyer, Gunter H ^a  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Black Scholes Barenblatt equation; Option prices; Static hedging; Uncertain volatility

Indexed keywords

EID: 33747207531     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003755     Document Type: Article

References (14)

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