Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166): Difference between revisions

From MaRDI portal
Changed an Item
Created claim: DBLP publication ID (P1635): journals/fs/CoxHO16, #quickstatements; #temporary_batch_1731475607626
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2096772538 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1406.0551 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model-independent bounds for option prices -- a mass transport approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Arbitrage and duality in nondominated discrete-time models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4331836 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the hedging of options on exploding exchange rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local martingales, bubbles and option prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust pricing and hedging of double no-touch options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging contingent claims with constrained portfolios / 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: THE RANGE OF TRADED OPTION PRICES / 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: ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES / 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: Model-independent superhedging under portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fragility of arbitrage and bubbles in local martingale diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations / rank
 
Normal rank
Property / cites work
 
Property / cites work: STRONG BUBBLES AND STRICT LOCAL MARTINGALES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust hedging of the lookback option / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust pricing-hedging dualities in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rational asset pricing bubbles and portfolio constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5506186 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4942767 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local martingales, arbitrage, and viability. Free snacks and cheap thrills / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial options and statistical prediction intervals / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing with cone constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Mathematical Theory of Financial Bubbles / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complications with stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Existence of Probability Measures with Given Marginals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Minimax Theorems. / rank
 
Normal rank
Property / DBLP publication ID
 
Property / DBLP publication ID: journals/fs/CoxHO16 / rank
 
Normal rank

Latest revision as of 06:29, 13 November 2024

scientific article
Language Label Description Also known as
English
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
scientific article

    Statements

    Robust pricing and hedging under trading restrictions and the emergence of local martingale models (English)
    0 references
    0 references
    0 references
    7 September 2016
    0 references
    robust pricing and hedging
    0 references
    financial bubble
    0 references
    local martingale models
    0 references
    pricing-hedging duality
    0 references
    trading restrictions
    0 references
    short selling constraint
    0 references
    martingale optimal transport
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers