Option Pricing with Discrete Rebalancing
Year of publication: |
2002-07
|
---|---|
Authors: | PRIGENT, Jean-Luc ; RENAULT, Olivier ; SCAILLET, Olivier |
Institutions: | Swiss Finance Institute |
Subject: | weak convergence | incomplete market | option pricing | minimal martin-gale measure | discrete rebalancing | marked point process |
-
Option Pricing with Discrete Rebalancing
Prigent, J.-L., (1999)
-
Convergence of discrete time option pricing models under stochastic interest rates
Scaillet, O., (1999)
-
Robust hedging with proportional transaction costs
Dolinsky, Yan, (2013)
- More ...
-
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
RENAULT, Olivier, (2003)
-
Weak Convergence of Hedging Strategies of Contingent Claims
PRIGENT, Jean-Luc, (2002)
-
Option Pricing with Discrete Rebalancing
Prigent, Jean-Luc, (2002)
- More ...