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Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Equivalent martingale measure in Asian geometric average option pricing

Zhu, Yonggang - In: Journal of mathematical finance 4 (2014) 4, pp. 304-308

Persistent link: https://www.econbiz.de/10011312412

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

Martingale optimal transport and robust hedging in continuous time

Dolinsky, Yan; Soner, Halil Mete - 2013

martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … given, fi xed maturity. The dual is a Monge-Kantorovich type martingale transport problem of maximizing the expected value … of the option over all martingale measures that has the given marginal at maturity. In addition to duality, a family of …

Persistent link: https://www.econbiz.de/10009750641

Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance

Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107

Persistent link: https://www.econbiz.de/10009724764

Option pricing using the martingale approach with polynomial interpolation

Wang, Ming-chieh; Huang, Li-jhang; Liao, Szu-Lang - In: The journal of futures markets 33 (2013) 5, pp. 469-491

Persistent link: https://www.econbiz.de/10009726364

International tax arbitrage, currency options and put-call parity conditions

Strobel, Frank - In: Journal of international financial markets, … 22 (2012) 3, pp. 473-486

Persistent link: https://www.econbiz.de/10009623551

Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks

Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10009624500

Attainable contingent claims in a Markovian regime-switching market

Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19

Persistent link: https://www.econbiz.de/10009706331

Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction

Guo, Biao; Han, Qian; Ryu, Doojin - In: The journal of futures markets 33 (2013) 7, pp. 629-652

Persistent link: https://www.econbiz.de/10009756544