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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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Black and scholes pricing and markets with transaction costs : an example
Reisman, Haim - In: Finance and stochastics 5 (2001) 4, pp. 549-555
Persistent link: https://www.econbiz.de/10001614617
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Incomepleteness of markets driven by a mixed diffusion
Bellamy, N.; Jeanblanc, Monique - In: Finance and stochastics 4 (2000) 2, pp. 209-222
Persistent link: https://www.econbiz.de/10001487034
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Smooth convergence in the binomial model
Chang, Lo-Bin; Palmer, Ken - In: Finance and stochastics 11 (2007) 1, pp. 91-105
Persistent link: https://www.econbiz.de/10003410639
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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Discrete time hedging errors for options with irregular payoffs
Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-367
Persistent link: https://www.econbiz.de/10001599284