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Risky options simplified

Schweizer, Martin - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 59-82

Persistent link: https://www.econbiz.de/10001372090

Approximation pricing and the variance-optimal martingale measure

Schweizer, Martin - 1995

Persistent link: https://www.econbiz.de/10000927705

On Bermudan options

Schweizer, Martin - In: Advances in finance and stochastics : essays in honour …, (pp. 257-270). 2002

Persistent link: https://www.econbiz.de/10001672241

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

Persistent link: https://www.econbiz.de/10001473109

Option pricing under incompleteness and stochastic volatility

Hofmann, Norbert - 1992

Persistent link: https://www.econbiz.de/10000834044

Martingale densities for general asset prices

Schweizer, Martin - 1991

Persistent link: https://www.econbiz.de/10000825147

Option hedging for semimartingales

Schweizer, Martin - 1989

Persistent link: https://www.econbiz.de/10000757518

Convergence of option values under incompleteness

Runggaldier, Wolfgang J. - 1995

Persistent link: https://www.econbiz.de/10000927701

Locally phi-integrable sigma-martingale densities for general semimartingales

Choulli, Tahir; Schweizer, Martin - 2015 - This version: 22.5.2015

A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z0 starting at 1 such that the product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage property of S, and it is invariant if we replace the...

Persistent link: https://www.econbiz.de/10011296922

Semi-efficient valuations and put-call parity

Herdegen, Martin; Schweizer, Martin - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1061-1106

Persistent link: https://www.econbiz.de/10011969072