OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (Q3523568): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Set OpenAlex properties.
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contingent claims valuation when the security price is a combination of an Itō process and a random point process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing Under Incompleteness and Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility, smile & asymptotics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage pricing with incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Quadratic Cost Criteria for Option Hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance-Optimal Hedging in Discrete Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Risky Options Simply / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Minimizing Risk in Incomplete Markets Option Pricing Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Explicit Formula for Option Pricing in Discrete Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Control Approach to the Pricing of Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimisation with strictly positive transaction costs and impulse control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Index Tracking Under Transaction Costs and Impulse Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing with transaction costs and a nonlinear Black-Scholes equation / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1142/s0219024901000912 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2039290851 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 08:55, 30 July 2024

scientific article
Language Label Description Also known as
English
OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
scientific article

    Statements

    OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (English)
    0 references
    0 references
    0 references
    3 September 2008
    0 references
    option pricing
    0 references
    incomplete markets, stochastic optimization, transaction costs
    0 references
    adaptive control
    0 references
    forecast
    0 references

    Identifiers