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20082026
most citedStochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

26 citations · 157 across the 57 of their papers we have counts for

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Showing 2019 · q-fin.PRShow all

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q-fin.PR2019★ 1 cited

Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility

Damiano Brigo

We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility…