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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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Bessel processes, Asian options, and perpetuities
Geman, Hélyette - In: Mathematical finance : an international journal of … 3 (1993) 4, pp. 349-375
Persistent link: https://www.econbiz.de/10001185120
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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Valuation of barrier options via a general self-duality
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015
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The normalizing transformation of the implied volatility smile
Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 753-762
Persistent link: https://www.econbiz.de/10009614936
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Asymptotics of implied volatility in local volatility models
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Cheng Ouyang - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-620
Persistent link: https://www.econbiz.de/10009614946
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Black-scholes representation for Asian options
Večeř, Jan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
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On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
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Option pricing for jump diffusions : approximations and their interpretation
Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10001333345