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Robust hedging of barrier options
Brown, Haydyn; Hobson, David G.; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 285-314
Persistent link: https://www.econbiz.de/10001651137
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Robust Hedging of Barrier Options
Brown, Haydyn; Hobson, David; Rogers, L. C. G. - In: Mathematical Finance 11 (2001) 3, pp. 285-314
Persistent link: https://www.econbiz.de/10005294277
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Comparison results for stochastic volatility models via coupling
Hobson, David G. - In: Finance and stochastics 14 (2010) 1, pp. 129-152
Persistent link: https://www.econbiz.de/10003924831
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The Skorokhod embedding problem and model-independent bounds for option prices
Hobson, David G. - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 267-318
Persistent link: https://www.econbiz.de/10009356712
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Stochastic volatility models, correlation, and the q-optimal measure
Hobson, David G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556
Persistent link: https://www.econbiz.de/10002396346
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[Rezension von: Bjork, Tomas, Arbitrage theory in continuous time]
Hobson, David G. - In: The economic journal : the journal of the Royal … 110 (2000), pp. 261-262
Persistent link: https://www.econbiz.de/10001480861
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TWO-SECTOR STOCHASTIC GROWTH MODELS *
HARTLEY, P.M.; ROGERS, L.C.G. - In: Australian Economic Papers 44 (2005) 4, pp. 322-351
This paper develops the study of two-sector growth models of the form introduced by Arrow and Kurz (1970). We extend their deterministic model by allowing the population process to become random and by allowing the population to choose their level of effort. We find that under suitable...
Persistent link: https://www.econbiz.de/10005157681
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Recovery of Preferences from Observed Wealth in a Single Realization
Dybvig, Philip H.; Rogers, L.C.G. - In: The review of financial studies 10 (1997) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10007308657
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Portfolio Turnpikes
Dybvig, Philip H.; Rogers, L.C.G.; Back, Kerry - In: The review of financial studies 12 (1999) 1, pp. 165-196
Persistent link: https://www.econbiz.de/10007344050
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Stocks Paying Discrete Dividends: Modeling and Option Pricing
Korn, Ralf; Rogers, L.C.G. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 44-48
Persistent link: https://www.econbiz.de/10005919524