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Martingale approach in pricing and hedging European options under regime-switching
Milʹstejn, Grigorij N.; Spokojnyj, Vladimir G. - 2011
function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov … markets ; martingale measure ; generalized self-financing strategy ; attainability ; self-financing in mean …
Persistent link: https://www.econbiz.de/10009379451
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Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats; Tankov, Peter - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
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Exchange options under jump-diffusion dynamics
Cheang, Gerald H. L.; Chiarella, Carl - In: Applied mathematical finance 18 (2011) 3/4, pp. 245-276
Persistent link: https://www.econbiz.de/10009381930
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Indifference price with general seminartingales
Biagini, Sara; Frittelli, Marco; Grasselli, Matheus - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 423-446
Persistent link: https://www.econbiz.de/10009155204
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Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
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The Heath-Jarrow-Morton approach for modelling stock options
Krühner, Paul - 2012
Persistent link: https://www.econbiz.de/10009549758
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Robust bounds for forward start options
Hobson, David G.; Neuberger, Anthony - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 31-56
Persistent link: https://www.econbiz.de/10009554695
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Option pricing in incomplete markets : modeling based on geometric Lévy processes and minimal entropy martingale measures
Miyahara, Yoshio - 2012
Persistent link: https://www.econbiz.de/10009426688
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On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro - In: Journal of mathematical finance 5 (2015) 2, pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160