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Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Goll, Thomas; Rüschendorf, Ludger - In: Finance and stochastics 5 (2001) 4, pp. 557-581
Persistent link: https://www.econbiz.de/10001614624
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Robust hedging of the lookback option
Hobson, David G. - In: Finance and stochastics 2 (1998) 4, pp. 329-347
Persistent link: https://www.econbiz.de/10001247137
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Mean-variance hedging with oil futures
Wang, Liao; Wissel, Johannes Stefan - In: Finance and stochastics 17 (2013) 4, pp. 641-683
Persistent link: https://www.econbiz.de/10010190888
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Bounds for VIX futures given S&P 500 smiles
Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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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