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Optional defaultable markets
Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21
on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …
Persistent link: https://www.econbiz.de/10011783347
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Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa; Kabanov, Jurij M. - In: Recent advances in financial engineering : proceedings …, (pp. 1-25). 2009
Persistent link: https://www.econbiz.de/10003871153
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An analysis of the supply curve for liquidity risk through book data
Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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Martingale optimal transport and robust hedging in continuous time
Dolinsky, Yan; Soner, Halil Mete - 2013
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists …
Persistent link: https://www.econbiz.de/10009750641
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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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On the hedging of options on exploding exchange rates
Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and stochastics 18 (2014) 1, pp. 115-144
Persistent link: https://www.econbiz.de/10010235456
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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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