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Option pricing : real and risk-neutral distributions

Kōnstantinidēs, Giōrgos (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003221993

Option pricing : valuing derived claims in incomplete security markets

Chang, Shih-Kang - 1982

Persistent link: https://www.econbiz.de/10001987526

Towards a general theory of good deal bounds

Björk, Tomas (contributor); Slinko, Irina (contributor) - 2005 - First version: October 2003

framework we study arbitrage free good deal pricing bounds for derivative assets along the lines of Cochrane and Saa …

Persistent link: https://www.econbiz.de/10002757005

Fundamental theorems of asset pricing for good deal bounds

Staum, Jeremy - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 141-161

Persistent link: https://www.econbiz.de/10002032681

A general methodology to price and hedge derivatives in incomplete markets

Aurell, Erik (contributor) - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10001488345

An explicit formula for option pricing in discrete incomplete markets

Wolczyńska, Grażyna - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 283-288

Persistent link: https://www.econbiz.de/10001240153

Pricing of non-redundant derivatives in a complete market

Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François - In: Review of derivatives research 2 (1999) 4, pp. 287-314

Persistent link: https://www.econbiz.de/10001445801

Option pricing in incomplete discrete markets

Wolczyńska, Grażyna - In: Applied mathematical finance 5 (1998) 3/4, pp. 165-179

Persistent link: https://www.econbiz.de/10001446806

Bewertung nicht redundanter Finanzderivate mittels Entropie und Cross-Entropie

Branger, Nicole - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001653604

Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Fujii, Masaaki - 2011

this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is …-linear FBSDE and cannot be solve exactly, the fist order approximation is provided using Gateaux derivative. We have shown that it …

Persistent link: https://www.econbiz.de/10013131969

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