Pricing and hedging in incomplete markets with model uncertainty (Q2286877): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Created claim: Wikidata QID (P12): Q127178376, #quickstatements; #temporary_batch_1722437626092
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.ejor.2019.09.054 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3122569458 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust control of parabolic stochastic partial differential equations under model uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio decisions for financial institutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uncertainty and inside information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio management in a stochastic factor model under the existence of private information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inf-convolution of risk measures and optimal risk transfer / rank
 
Normal rank
Property / cites work
 
Property / cites work: The robust Merton problem of an ambiguity averse investor / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5436596 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Control and Hedging of Operations in the Presence of Financial Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Viscosity Solutions of Hamilton-Jacobi Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A closed-form solution to the problem of super-replication under transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Super-replication in stochastic volatility models under portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613981 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolios: contributions from operations research and finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the Swiss solvency test risk measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maxmin expected utility with non-unique prior / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error expansion for the discretization of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving BSDE with Adaptive Control Variate / rank
 
Normal rank
Property / cites work
 
Property / cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Selection Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity in asset pricing and portfolio choice: a review of the literature / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust utility maximization with limited downside risk in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robustness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust control and model misspecification / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Model Confidence Set / rank
 
Normal rank
Property / cites work
 
Property / cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Explicit solutions to an optimal portfolio choice problem with stochastic income / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust utility maximization in a stochastic factor model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A control approach to robust utility maximization with logarithmic utility and time-consistent penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust reinsurance contracts with uncertainty about jump risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Distributions of Certain Wiener Functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Hedging Under Jump Diffusion with Transaction Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recent developments in robust portfolios with a worst-case approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Smooth Model of Decision Making under Ambiguity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Choice and Indifference Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust One-Period Option Hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity Aversion, Robustness, and the Variational Representation of Preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic partial differential equations related to utility maximization and hedging / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: An example of indifference prices under exponential preferences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4029028 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-consistent actuarial valuations / rank
 
Normal rank
Property / cites work
 
Property / cites work: TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment / rank
 
Normal rank
Property / cites work
 
Property / cites work: SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A solution approach to valuation with unhedgeable risks / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q127178376 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 17:00, 31 July 2024

scientific article
Language Label Description Also known as
English
Pricing and hedging in incomplete markets with model uncertainty
scientific article

    Statements

    Pricing and hedging in incomplete markets with model uncertainty (English)
    0 references
    0 references
    0 references
    23 January 2020
    0 references
    0 references
    0 references
    0 references
    0 references
    finance
    0 references
    indifference pricing
    0 references
    hedging
    0 references
    incomplete markets
    0 references
    robustness
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references