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Musiela, Marek; Zariphopoulou-Souganidis, Thaleia - In: Indifference pricing : theory and applications, (pp. 3-43). 2009

Persistent link: https://www.econbiz.de/10003807577

Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

Kōnstantinidēs, Giōrgos; Zariphopoulou-Souganidis, … - In: Finance and stochastics 3 (1999) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10001389116

Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities

Kōnstantinidēs, Giōrgos; Zariphopoulou-Souganidis, … - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 331-346

Persistent link: https://www.econbiz.de/10001651163

Forward exponential indifference valuation in an incomplete binomial model

Musiela, Marek; Sokolova, E.; Zariphopoulou-Souganidis, … - In: Advanced modelling in mathematical finance : in honour …, (pp. 277-302). 2016

Persistent link: https://www.econbiz.de/10011800382

Robust pricing and hedging of double no-touch options

Cox, Alexander M. G.; Obłój, Jan - In: Finance and stochastics 15 (2011) 3, pp. 573-605

Persistent link: https://www.econbiz.de/10009303104

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704

Persistent link: https://www.econbiz.de/10011531314

Performance of robust hedges for digital double barrier options

ObŁój, Jan; Ulmer, Frédérik - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10009562153

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

Guo, Ivan - 2020

This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [arXiv:1906.06478]. We introduce a PDE...

Persistent link: https://www.econbiz.de/10012837844

A unified framework for robust modelling of financial markets in discrete time

Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468

Persistent link: https://www.econbiz.de/10012585981

Robust pricing-hedging dualities in continuous time

Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 22 (2018) 3, pp. 511-567

Persistent link: https://www.econbiz.de/10011945812