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A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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A first-order BSPDE for swing option pricing
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
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BSDES with stochastic Lipschitz condition
Bender, Christian; Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001450618
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Fractional processes as models in stochastic finance
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Advanced mathematical methods for finance, (pp. 75-103). 2011
Persistent link: https://www.econbiz.de/10008991326
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BSDES with stochastic Lipschitz condition
Bender, Christian; Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10011543449
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Pathwise dynamic programming
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995
Persistent link: https://www.econbiz.de/10011914390
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A primal-dual algorithm for BSDES
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901
Persistent link: https://www.econbiz.de/10011764983