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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
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Utility theory front to back-inferring utility from agents' choices
Cox, Alexander M. G.; Hobson, David G.; Obłój, Jan - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10010364759
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Robust bounds for derivative prices in markovian models
Sester, Julian - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
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Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012650235