Dynamic complex hedging in additive markets (Q2994843): Difference between revisions

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+João M. E. Guerra
@@ Property / author: João M. E. Guerra / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680902960234
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@@ Property / OpenAlex ID @@
+W2070776372
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@@ Property / cites work @@
+Towards a general theory of bond markets
@@ Property / cites work: Towards a general theory of bond markets / rank @@
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+SELF-DECOMPOSABILITY AND OPTION PRICING
@@ Property / cites work: SELF-DECOMPOSABILITY AND OPTION PRICING / rank @@
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+Pricing contingent claims on stocks driven by Lévy processes
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+Completion of a Lévy market by power-jump assets
@@ Property / cites work: Completion of a Lévy market by power-jump assets / rank @@
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+On the range of options prices
@@ Property / cites work: On the range of options prices / rank @@
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+Lévy term structure models: no-arbitrage and completeness
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@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
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+Optimal portfolios for logarithmic utility.
@@ Property / cites work: Optimal portfolios for logarithmic utility. / rank @@
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+Risk-neutral compatibility with option prices
@@ Property / cites work: Risk-neutral compatibility with option prices / rank @@
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@@ Property / cites work @@
+Hedging contingent claims on semimartingales
@@ Property / cites work: Hedging contingent claims on semimartingales / rank @@
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+Chaotic and predictable representations for Lévy processes.
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@@ Property / cites work @@
+Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
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