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Analytical comparisons of option prices in stochastic volatility models

Henderson, Vicky - 2002

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

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Attainability of European path-independent claims in incomplete markets

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Hedging (co)variance risk with variance swaps

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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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Dynamic hedging, positive feedback, and general equilibrium

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Hedging of time discrete auto-regressive stochastic volatility options

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Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model

Bertsimas, Dimitris - 1997

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Persistent link: https://www.econbiz.de/10012472561

Uncertainty measure : as a proxy for the degree of market imperfection

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Option pricing with discrete time jump processes

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