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Super-replication in fully incomplete markets

Dolinsky, Yan; Neufeld, Ariel - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 483-515

Persistent link: https://www.econbiz.de/10011969096

Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161

Persistent link: https://www.econbiz.de/10010190161

A comparison of two quadratic approaches to hedging in incomplete markets

Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413

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Infinite-dimensional polynomial processes

Cuchiero, Christa; Svaluto-Ferro, Sara - In: Finance and stochastics 25 (2021) 2, pp. 383-426

Persistent link: https://www.econbiz.de/10012499741

Asset pricing in incomplete markets : valuing gas storage capacity

Zhao, Lin; Wijnbergen, Sweder van - 2015

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

Persistent link: https://www.econbiz.de/10011333083