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A stochastic approach to the valuation of barrier options in Heston's stochastic volatility model

Griebsch, Susanne A.; Pilz, Kay Frederik - 2012

Persistent link: https://www.econbiz.de/10009613984

Nonlinear expectations, nonlinear evaluations and risk measures

Peng, Shige - In: Stochastic methods in finance : lectures given at the …, (pp. 165-253). 2004

Persistent link: https://www.econbiz.de/10002526468

Calibration of a Nonlinear Feedback Option Pricing Model

Sanfelici, Simona - 2013

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback … patterns of implied volatility can actually be reproduced as a consequence of dynamical hedging. The simulations are performed … maturity classes. Overall, nonlinear feedback due to hedging strategies can, at least in part, contribute to explain from a …

Persistent link: https://www.econbiz.de/10013084284

A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

Griebsch, Susanne - 2013

In the valuation of continuous barrier options the distribution of the first hitting time plays a substantial role. In general, the derivation of a hitting time distribution poses a mathematically challenging problem for continuous but otherwise arbitrary boundary curves. When considering...

Persistent link: https://www.econbiz.de/10013091653

Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805

Persistent link: https://www.econbiz.de/10011990226

A semigroup approach to nonlinear Lévy processes

Denk, Robert; Kupper, Michael; Nendel, Max - 2019

We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear Lévy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of...

Persistent link: https://www.econbiz.de/10012009874

Backward nonlinear expectation equations

Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10011963319

A nonlinear diffusion model for electricity prices and derivatives

Tong, Zhigang; Liu, Allen - In: International journal of bonds and derivatives 3 (2017) 4, pp. 290-319

Persistent link: https://www.econbiz.de/10011877179

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346

Persistent link: https://www.econbiz.de/10011874006

Analytical and numerical solutions for a special nonlinear equation

Fard, Hossein Sahebi; Dastranj, Elham; Hejazi, Reza; … - In: International journal of financial engineering 11 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014521393