2 papers
q-fin.PR2012
Asset Pricing under uncertainty
Simone Scotti
We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the theory of Dirichl…
q-fin.PR2010
The impact of uncertainties on the pricing of contingent claims
Simone Scotti
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We…