Similar Search Results

Convex duality in optimal investment and contingent claim valuation in illiquid markets

Pennanen, Teemu; Perkkiö, Ari-Pekka - In: Finance and stochastics 22 (2018) 4, pp. 733-771

Persistent link: https://www.econbiz.de/10011946560

Utility maximization with proportional transaction costs under model uncertainty

Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236

Persistent link: https://www.econbiz.de/10012319659

Optimal investment with correlated stochastic volatility factors

Bichuch, Maxim; Fouque, Jean-Pierre - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 342-369

Persistent link: https://www.econbiz.de/10014278672

Hedging under generalized good-deal bounds and model uncertainty

Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214

Persistent link: https://www.econbiz.de/10011714399

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

Persistent link: https://www.econbiz.de/10011333083