Parameter risk in the Black and Scholes model
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References listed on IDEAS
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
More about this item
KeywordsBlack and Scholes model; option; parameter risk; profit distribution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-12 (All new papers)
- NEP-FIN-2003-10-12 (Finance)
- NEP-RMG-2003-10-12 (Risk Management)
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