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Super-replication in fully incomplete markets

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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

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A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

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Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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Equilibrium option pricing : a Monte Carlo approach

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Analytical comparisons of option prices in stochastic volatility models

Henderson, Vicky - 2002

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An empirical comparison of two stochastic volatility models using Indian market data

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Option pricing in stochastic volatility models driven by fractional Lévy processes

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Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Zhuo, Jin - In: Risks : open access journal 6 (2018) 2, pp. 1-20

are restricted in order to preserve the drift and the volatility of the project-value process that it modifies. By …

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