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Search: subject:"robust pricing"
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Option pricing theory
7
Optionspreistheorie
7
Robust statistics
5
Robustes Verfahren
5
Hedging
4
Martingal
4
Martingale
4
Martingale optimal transport
4
Robust pricing
4
Robust pricing and hedging
4
robust pricing
4
Mathematical programming
3
Mathematische Optimierung
3
Preismanagement
3
Pricing strategy
3
Theorie
3
Theory
3
Volatility
3
Volatilität
3
Börsenkurs
2
Markov chain
2
Markov-Kette
2
Model-independent arbitrage
2
Portfolio selection
2
Portfolio-Management
2
Pricing-hedging duality
2
Share price
2
Superhedging
2
pricing
2
quadratic variation
2
value of data
2
Algorithm
1
Algorithmus
1
Ambiguity
1
CAPM
1
Correlation
1
Decision under uncertainty
1
Derivat
1
Derivative
1
Double no-touch option
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Obłój, Jan
4
Allouah, Amine
2
Bahamou, Achraf
2
Besbes, Omar
2
Hou, Zhaoxu
2
Lorig, Matthew
2
Carr, Peter
1
Cox, Alexander
1
Cox, Alexander M. G.
1
Eckstein, Stephan
1
Gong, Aibo
1
Henry-Labordere, Pierre
1
Ke, Shaowei
1
Kupper, Michael
1
LIn, Jimin
1
Lee, Roger
1
Neufeld, Ariel
1
Obloj, Jan
1
Qiu, Yawen
1
Sester, Julian
1
Shen, Rui
1
Spoida, Peter
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Touzi, Nizar
1
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Finance and stochastics
3
Applied mathematical finance
2
International journal of theoretical and applied finance
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Journal of economic theory
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
11
RePEc
2
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A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan
;
Wiesel, Johannes
- In:
Finance and stochastics
25
(
2021
)
3
,
pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
Saved in:
2
Optimal pricing with a single point
Allouah, Amine
;
Bahamou, Achraf
;
Besbes, Omar
- In:
Management science : journal of the Institute for …
69
(
2023
)
10
,
pp. 5866-5882
Persistent link: https://www.econbiz.de/10014393036
Saved in:
3
Robust
pricing
under strategic trading
Gong, Aibo
;
Ke, Shaowei
;
Qiu, Yawen
;
Shen, Rui
- In:
Journal of economic theory
199
(
2022
),
pp. 1-46
Persistent link: https://www.econbiz.de/10013193332
Saved in:
4
Pricing with samples
Allouah, Amine
;
Bahamou, Achraf
;
Besbes, Omar
- In:
Operations research
70
(
2022
)
2
,
pp. 1088-1104
Persistent link: https://www.econbiz.de/10013365842
Saved in:
5
Martingale transport with homogeneous stock movements
Eckstein, Stephan
;
Kupper, Michael
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 271-280
Persistent link: https://www.econbiz.de/10012424589
Saved in:
6
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
7
Robust bounds for derivative prices in markovian models
Sester, Julian
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
Saved in:
8
On Carr and Lee's correlation immunization strategy
LIn, Jimin
;
Lorig, Matthew
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 131-152
Persistent link: https://www.econbiz.de/10012210265
Saved in:
9
Robust
pricing
-hedging dualities in continuous time
Hou, Zhaoxu
;
Obłój, Jan
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 511-567
Persistent link: https://www.econbiz.de/10011945812
Saved in:
10
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
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