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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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Contingent claims in incomplete markets : a case study
Mataramvura, Sure - In: Journal of mathematical finance 3 (2013) 4, pp. 426-430
Persistent link: https://www.econbiz.de/10010239520
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Negative call prices
Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794
Persistent link: https://www.econbiz.de/10010196568
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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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
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Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set
Sala, Carlo; Barone-Adesi, Giovanni - 2015
martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …
Persistent link: https://www.econbiz.de/10011506352
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Fundamental theorem of asset pricing under transaction costs and model uncertainty
Bayraktar, Erhan; Zhang, Yuchong - In: Mathematics of operations research 41 (2016) 3, pp. 1039-1054
Persistent link: https://www.econbiz.de/10011520813