Hedging under generalized good-deal bounds and model uncertainty (Q2408899): Difference between revisions

@@ Property / cites work @@
+Q5386174
@@ Property / cites work: Q5386174 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Q3613976
@@ Property / cites work: Q3613976 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
+Normal rank
@@ Property / cites work @@
+Q3656683
@@ Property / cites work: Q3656683 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
+Normal rank
@@ Property / cites work @@
+The robust Merton problem of an ambiguity averse investor
+Normal rank
@@ Property / cites work @@
+Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\)
+Normal rank
@@ Property / cites work @@
+Towards a General Theory of Good-Deal Bounds*
@@ Property / cites work: Towards a General Theory of Good-Deal Bounds* / rank @@
+Normal rank
@@ Property / cites work @@
+A general framework for the derivation of asset price bounds: An application to stochastic volatility option models
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing and hedging basis risk under no good deal assumption
+Normal rank
@@ Property / cites work @@
+Q2782354
@@ Property / cites work: Q2782354 / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+Equivalent and absolutely continuous measure changes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
+Normal rank
@@ Property / cites work @@
+Q5294265
@@ Property / cites work: Q5294265 / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process
+Normal rank
@@ Property / cites work @@
+Good-Deal Bounds in a Regime-Switching Diffusion Market
+Normal rank
@@ Property / cites work @@
+Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
+Normal rank
@@ Property / cites work @@
+Risk Preferences and Their Robust Representation
@@ Property / cites work: Risk Preferences and Their Robust Representation / rank @@
+Normal rank
@@ Property / cites work @@
+Minimal supersolutions of convex BSDEs
@@ Property / cites work: Minimal supersolutions of convex BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Q4702909
@@ Property / cites work: Q4702909 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Recursive multiple-priors.
@@ Property / cites work: Recursive multiple-priors. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3815091
@@ Property / cites work: Q3815091 / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Coherent risk measures and good-deal bounds
@@ Property / cites work: Coherent risk measures and good-deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Algorithms of projection of a point onto an ellipsoid
+Normal rank
@@ Property / cites work @@
+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
+Normal rank
@@ Property / cites work @@
+Dynamic utility-based good deal bounds
@@ Property / cites work: Dynamic utility-based good deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and hedging with globally and instantaneously vanishing risk
+Normal rank
@@ Property / cites work @@
+The Minimum Variance Hedge Ratio Under Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+Q5763589
@@ Property / cites work: Q5763589 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Risk minimization in stochastic volatility models: model risk and empirical performance
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal control for a consumption-investment problem
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
+Normal rank