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Determination of the probability distribution measures from market option prices using the method of maximum entropy in the mean
Gzyl, Henryk; Mayoral, Silvia - In: Applied mathematical finance 19 (2012) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10009710972
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A family of maximum entropy densities matching call option prices
Neri, Cassio; Schneider, Lorenz - In: Applied mathematical finance 20 (2013) 5/6, pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
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On the minimal entropy martingale measure and multinomial lattices with cumulants
Ssebugenyi, Cyrus Seera; Mwaniki, Ivivi Joseph; … - In: Applied mathematical finance 20 (2013) 3/4, pp. 359-379
Persistent link: https://www.econbiz.de/10010187658
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Bonds and options in exponentially affine bond models
Bermin, Hans-Peter - In: Applied mathematical finance 19 (2012) 5/6, pp. 513-534
Persistent link: https://www.econbiz.de/10009710929
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Optimal selling of an asset with jumps under incomplete information
Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610
Persistent link: https://www.econbiz.de/10010235555
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A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
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Optimal trade execution under stochastic volatility and liquidity
Cheridito, Patrick; Sepin, Tardu - In: Applied mathematical finance 21 (2014) 3/4, pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
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Approximate hedging in a local volatility model with proportional transaction costs
Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341
Persistent link: https://www.econbiz.de/10010499677
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Hedging large portfolios of options in discrete time
Peeters, B.; Dert, C. L.; Lucas, André - In: Applied mathematical finance 15 (2008) 3/4, pp. 251-275
Persistent link: https://www.econbiz.de/10003751253
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Option replication in discrete time with illiquidity
Matsumoto, Koichi - In: Applied mathematical finance 20 (2013) 1/2, pp. 167-190
Persistent link: https://www.econbiz.de/10009737170