5 citations · 10 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…
Risk Premium Impact in the Perturbative Black Scholes Model
Luca Regis, Simone Scotti
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the c…
Perturbative Approach on Financial Markets
Simone Scotti
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging p…