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Consistency of option prices under bid–ask spreads

Gerhold, Stefan; Gülüm, Ismail Cetin - In: Mathematical Finance 30 (2020) 2, pp. 377-402

Persistent link: https://www.econbiz.de/10012192407

Small‐time, large‐time, and asymptotics for the Rough Heston model

Forde, Martin; Gerhold, Stefan; Smith, Benjamin - In: Mathematical Finance 31 (2020) 1, pp. 203-241

Persistent link: https://www.econbiz.de/10012410099

The limits of leverage

Guasoni, Paolo; Mayerhofer, Eberhard - In: Mathematical Finance 29 (2018) 1, pp. 249-284

Persistent link: https://www.econbiz.de/10012095144

Who should sell stocks?

Guasoni, Paolo; Liu, Ren; Muhle‐Karbe, Johannes - In: Mathematical Finance 29 (2018) 2, pp. 448-482

Persistent link: https://www.econbiz.de/10012095151

Nonlinear price impact and portfolio choice

Guasoni, Paolo; Weber, Marko Hans - In: Mathematical Finance 30 (2020) 2, pp. 341-376

Persistent link: https://www.econbiz.de/10012192411

Young, timid, and risk takers

Guasoni, Paolo; Nagy, Lóránt; Rásonyi, Miklós - In: Mathematical Finance 31 (2021) 4, pp. 1332-1356

Persistent link: https://www.econbiz.de/10012636237

Shortfall aversion

Guasoni, Paolo; Huberman, Gur; Ren, Dan - In: Mathematical Finance 30 (2020) 3, pp. 869-920

Persistent link: https://www.econbiz.de/10012283186

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

Cuchiero, Christa; Schachermayer, Walter; Wong, … - In: Mathematical Finance 29 (2018) 3, pp. 773-803

Persistent link: https://www.econbiz.de/10012095169

Convergence of optimal expected utility for a sequence of binomial models

Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical Finance 31 (2021) 4, pp. 1315-1331

Persistent link: https://www.econbiz.de/10012636234

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 16 (2021) 1, pp. 25-47

We examine the connection between discrete‐time models of financial markets and the celebrated Black–Scholes–Merton (BSM) continuous‐time model in which “markets are complete.” Suppose that (a) the probability law of a sequence of discrete‐time models converges to the law of the...

Persistent link: https://www.econbiz.de/10012637454