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Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10010347953
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Evaluation of the effectiveness of methods of the imperfect hedging of financial options on the Russian forward market
Nazarova, Varvara - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 28-51
Persistent link: https://www.econbiz.de/10010463008
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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan; Wang, Gu - In: Mathematical methods of operations research 87 (2018) 2, pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
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Superreplication under model uncertainty in discrete time
Nutz, Marcel - In: Finance and stochastics 18 (2014) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10010416246
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652631