English, Article edition: THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING GUNTER H. MEYER

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/82882
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
Author
  • GUNTER H. MEYER
Physical Description
  • article
Notes
  • The Black Scholes Barenblatt (BSB) equation for the envelope of option prices with uncertain volatility and interest rate is derived from the Black Scholes equation with the maximum principle for diffusion equations and shown to be equivalent to a readily solvable standard Black Scholes equation with a nonlinear source term. Analogous arguments yield the envelope for the delta of option prices. We then interpret the concept of static hedging for narrowing the envelope in terms of partial differential equations and define the optimal static hedge and computable approximations to it. We apply the BSB equation to find numerically some optimally hedged portfolios of representative European and American options.
  • Option prices, uncertain volatility, Black Scholes Barenblatt equation, static hedging
  • RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:673-703
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment