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ETH Zurich
Beyond Black and Scholes: Uncertainty aversion, delta-vega hedging, and bubbles and crashes
Degree
thesis:*- Grantor dc:publisher
- ETH Zurich
- Year dc:date
- 2016
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Herrmann, Sebastian
- Contributors dc:contributor
-
- Schweizer, Martin
- Soner, Mete; id_orcid0000-0002-0824-1808
Subjects
dc:subject × 3- DERIVATIVE PRODUCTS (FINANCE); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); KURSSICHERUNG (FINANZMATHEMATIK); MARTINGALE + SEMIMARTINGALE (WAHRSCHEINLICHKEITSRECHNUNG); OPTIONS (FINANCE); PORTFOLIO SELECTION (OPERATIONS RESEARCH); DERIVATIVE PRODUKTE (FINANZEN); OPTIONEN (FINANZEN); SPECIAL STOCHASTIC PROCESSES (PROBABILITY THEORY); VOLATILITÄT (FINANZEN); MARTINGALES + SEMIMARTINGALES (PROBABILITY THEORY); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); HEDGING (FINANCIAL MATHEMATICS); PORTFOLIOTHEORIE (OPERATIONS RESEARCH); VOLATILITY (FINANCE); SPEZIELLE STOCHASTISCHE PROZESSE (WAHRSCHEINLICHKEITSRECHNUNG)
- info:eu-repo/classification/ddc/510
- Mathematics
Rights
dc:rights- Statement dc:rights
-
- info:eu-repo/semantics/openAccess
- In Copyright - Non-Commercial Use Permitted
- Language dc:language
- en
Identifiers
dc:identifier.*- Identifier
- https://doi.org/10.3929/ethz-a-010609303