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Robust Optimal Reinsurance-Investment for $\Alpha$-Maxmin Mean-Variance Utility Under Heston's Sv Model
Chen, Dengsheng; He, Yong; Li, Ziqiang - 2023
-variance insurer with delay under Heston's stochastic volatility stock model, the verification theorem is given and the closed …
Persistent link: https://www.econbiz.de/10014257455
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Alternative methods for determining option bounds : a review and comparison
Lee, Cheng F.; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei - 2024
Persistent link: https://www.econbiz.de/10015046626
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Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model
Hajizadeh, Ehsan - In: International journal of financial engineering 7 (2020) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10012603039
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Change of numeraire in the two-marginals martingale transport problem
Campi, Luciano; Laachir, Ismail; Martini, Claude - In: Finance and stochastics 21 (2017) 2, pp. 471-486
Persistent link: https://www.econbiz.de/10011944399
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Partial stochastic dominance via optimal transport
Kamihigashi, Takashi; Stachurski, John - In: Operations research letters 48 (2020) 5, pp. 584-586
Persistent link: https://www.econbiz.de/10012303414
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A stochastic Gauss-Newton algorithm for regularized semi-discrete optimal transport
Bercu, Bernard; Bigot, Jérémie; Gadat, Sébastien; … - 2021
Persistent link: https://www.econbiz.de/10012596536
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Optimal transport-based distributionally robust optimization : structural properties and iterative schemes
Blanchet, Jose; Murthy, Karthyek; Zhang, Fan - In: Mathematics of operations research 47 (2022) 2, pp. 1500-1529
Persistent link: https://www.econbiz.de/10013365331
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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044
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Pricing foreign currency options with stochastic volatility
Melino, Angelo; Turnbull, Stuart M. - 1988
Persistent link: https://www.econbiz.de/10000772329