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A risk-neutral equilibrium leading to uncertain volatility pricing · Study

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ArticleA risk-neutral equilibrium leading to uncertain volatility pricing

Johannes Muhle‐Karbe2018

Article2018

A risk-neutral equilibrium leading to uncertain volatility pricing

Johannes Muhle‐Karbe · Marcel Nutz

16 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2007Brownian Motion and Stochastic Calculus 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION 2003Overconfidence and Speculative Bubbles 1998Brownian Motion and Stochastic Calculus 1978Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations 1976Stochastic Differential Equations and Applications 1980Controlled Diffusion Processes 1995Pricing and hedging derivative securities in markets with uncertain volatilities

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Year2018

Typearticle

Published2018-03-07

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-018-0356-8

openalex_workW2563263223

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