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Attainable contingent claims i...
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1
Functional Itô calculus
Dupire, Bruno
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 721-729
Persistent link: https://www.econbiz.de/10012194711
Saved in:
2
Robust
hedging
with proportional transaction costs
Dolinsky, Yan
;
Soner, Halil Mete
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
Saved in:
3
No-arbitrage and
hedging
with liquid American options
Bayraktar, Erhan
;
Zhou, Zhou
- In:
Mathematics of operations research
44
(
2019
)
2
,
pp. 468-486
Persistent link: https://www.econbiz.de/10012028629
Saved in:
4
ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET
ELLIOTT, ROBERT J.
;
SIU, TAK KUEN
- In:
International Journal of Theoretical and Applied …
15
(
2012
)
08
,
pp. 1250055-1
the share price and the state of the regime-switching process are considered. We apply a
martingale
representation result … to show the
attainability
of a European-style contingent claim. We also extend our analysis to Asian-style and American …
Persistent link: https://www.econbiz.de/10010602412
Saved in:
5
Optional defaultable markets
Abdelghani, Mohamed N.
;
Melʹnikov, Aleksandr V.
- In:
Risks : open access journal
5
(
2017
)
4
,
pp. 1-21
on modeling of defaultable markets, pricing and
hedging
of defaultable claims and results on the probability of default …
Persistent link: https://www.econbiz.de/10011783347
Saved in:
6
An analysis of the supply curve for liquidity risk through book data
Blais, Marcel
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
Saved in:
7
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
Saved in:
8
Martingale
optimal transport and robust
hedging
in continuous time
Dolinsky, Yan
;
Soner, Halil Mete
-
2013
The duality between the robust (or equivalently, model independent)
hedging
of path dependent European options and a …
martingale
optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … to be a continuous function of time. The
hedging
problem is to construct a minimal super-
hedging
portfolio that consists …
Persistent link: https://www.econbiz.de/10009750641
Saved in:
9
On the
hedging
of options on exploding exchange rates
Carr, Peter
;
Fisher, Travis
;
Ruf, Johannes
- In:
Finance and stochastics
18
(
2014
)
1
,
pp. 115-144
Persistent link: https://www.econbiz.de/10010235456
Saved in:
10
Limit theorems for partial
hedging
under transaction costs
Dolinsky, Yan
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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