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A jump to default extended CEV model : an application of Bessel processes
Carr, Peter; Linetsky, Vadim - In: Finance and stochastics 10 (2006) 3, pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
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Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716
Persistent link: https://www.econbiz.de/10010190886
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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No-arbitrage criteria for financial markets with transaction costs and incomplete information
De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe - In: Finance and stochastics 11 (2007) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10003439760
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A super-replication theorem in Kabanov's model of transaction costs
Campi, Luciano; Schachermayer, Walter - In: Finance and stochastics 10 (2006) 4, pp. 579-596
Persistent link: https://www.econbiz.de/10003405654
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Hedging of American options under transaction costs
De Vallière, D.; Denis, E.; Kabanov, Jurij M. - In: Finance and stochastics 13 (2009) 1, pp. 105-119
Persistent link: https://www.econbiz.de/10003939485
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Hedging variance options on continuous semimartingales
Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207
Persistent link: https://www.econbiz.de/10003951494
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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687