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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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Incomplete markets and derivative assets
Le Grand, François; Ragot, Xavier - In: Economic theory : official journal of the Society for … 62 (2016) 3, pp. 517-545
Persistent link: https://www.econbiz.de/10011529261
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Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
Tavin, Bertrand - In: Journal of banking & finance 53 (2015), pp. 158-178
Persistent link: https://www.econbiz.de/10011377717
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The end of the month option and other embedded options in futures contracts
Lindensjö, Kristoffer - In: Asia-Pacific financial markets 23 (2016) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10011619869
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Randomized stopping times and early exercise for American derivatives in dry markets
Matos, João Amaro de; Lacerda, Ana - In: Journal of mathematical finance 6 (2016) 5, pp. 842-865
Persistent link: https://www.econbiz.de/10011657696
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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Forward exponential indifference valuation in an incomplete binomial model
Musiela, Marek; Sokolova, E.; Zariphopoulou-Souganidis, … - In: Advanced modelling in mathematical finance : in honour …, (pp. 277-302). 2016
Persistent link: https://www.econbiz.de/10011800382
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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Conditional Davis pricing
Larsen, Kasper; Soner, Halil Mete; Zitkovic, Gordan - 2018
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non …
Persistent link: https://www.econbiz.de/10011899936