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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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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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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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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 4, pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
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Hedging with small uncertainty aversion
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - In: Finance and stochastics 21 (2017) 1, pp. 1-64
Persistent link: https://www.econbiz.de/10011944064
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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On the hedging of options on exploding exchange rates
Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and stochastics 18 (2014) 1, pp. 115-144
Persistent link: https://www.econbiz.de/10010235456
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A closed-form solution to the problem of super-replication under transaction costs
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10001367451