Robust option replication for a black-scholes model extended with nondeterministic trends

Journal of Applied Mathematics and Stochastic Analysis

Volumn 12, Issue 2, 1999, Pages 113-120

  Schoenmakers, John G M ^a,b   Kloeden, Peter E ^a,b  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^b GOETHE UNIVERSITY   (Germany)

Author keywords

Arbitrage; Black and Scholes Option Price theory; Long Range Dependence; Portfolios; Stochastic Analysis of Square Zero Variation Processes

Indexed keywords

EID: 33947163255     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/S104895339900012X     Document Type: Article

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