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Criens, David; Glau, Kathrin; Grbac, Zorana - In: Applied mathematical finance 24 (2017) 1/2, pp. 23-37

Persistent link: https://www.econbiz.de/10011746992

Robust hedging with proportional transaction costs

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Persistent link: https://www.econbiz.de/10010340734

Deep learning for quadratic hedging in incomplete jump market

Agram, Nacira; Øksendal, Bernt K.; Rems, Jan - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 463-499

Persistent link: https://www.econbiz.de/10015078228

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

Rank tests at jump events

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

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Risk conception and evaluation in Taiwan financial markets

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On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond

Dokuchaev, Nikolai - 2014

equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …

Persistent link: https://www.econbiz.de/10013067602

Implementing option pricing models when asset returns follow an autoregressive moving average process

Wang, Chou-wen; Wu, Chin-wen; Tzang, Shyh-weir - In: International review of economics & finance : IREF 24 (2012), pp. 8-25

Persistent link: https://www.econbiz.de/10009690239

Option pricing with discrete time jump processes

Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445

Persistent link: https://www.econbiz.de/10010348134

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553