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Option hedging and implicit volatilities in a stochastic volatility model

Renault, Eric; Touzi, Nizar - 1993 - Rev

Persistent link: https://www.econbiz.de/10000874371

Monte Carlo methods for stochastic volatility models

Fournié, E.; Lasry, J. M.; Touzi, Nizar - In: Numerical methods in finance, (pp. 146-164). 2008

Persistent link: https://www.econbiz.de/10003723936

Statistical inference for random-variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367

Persistent link: https://www.econbiz.de/10001493867

Arbitrage and super-replication cost with convex constraints

Carassus, Laurence; Pham, Huyên; Touzi, Nizar - 1997

Persistent link: https://www.econbiz.de/10000980462

Statistical inference for random variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997

Persistent link: https://www.econbiz.de/10000984169

Dynamic programming approach to principal-agent problems

Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10011945612

Optimal investment under relative performance concerns

Espinosa, Gilles.Eduard; Touzi, Nizar - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 221-257

Persistent link: https://www.econbiz.de/10011350661

Dynamic contracting in asset management under the investor-partner-manager relationship

Keppo, Jussi; Touzi, Nizar; Zuo, Ruiting - In: Operations research 72 (2024) 3, pp. 903-915

Persistent link: https://www.econbiz.de/10014556839

Coûts de transaction, contraintes de vente à découvert et taxes : une approche unifiée

Carassus, Laurence; Jouini, Elyès - 1997

Persistent link: https://www.econbiz.de/10000980469

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Galichon, Alfred - 2013

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod...

Persistent link: https://www.econbiz.de/10013092542