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

@@ Property / author @@
-Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
-Normal rank
@@ Property / author @@
+Alexander Matthew Gordon Cox
@@ Property / author: Alexander Matthew Gordon Cox / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G99
@@ Property / Mathematics Subject Classification ID: 91G99 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6624315
@@ Property / zbMATH DE Number: 6624315 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+robust pricing and hedging
@@ Property / zbMATH Keywords: robust pricing and hedging / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+financial bubble
@@ Property / zbMATH Keywords: financial bubble / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+local martingale models
@@ Property / zbMATH Keywords: local martingale models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+pricing-hedging duality
@@ Property / zbMATH Keywords: pricing-hedging duality / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+trading restrictions
@@ Property / zbMATH Keywords: trading restrictions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+short selling constraint
@@ Property / zbMATH Keywords: short selling constraint / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+martingale optimal transport
@@ Property / zbMATH Keywords: martingale optimal transport / rank @@
+Normal rank
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+Q59474920
@@ Property / Wikidata QID: Q59474920 / rank @@
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+Mathematica
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+MaRDI publication profile
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+W2096772538
@@ Property / OpenAlex ID: W2096772538 / rank @@
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@@ Property / arXiv ID @@
+.0551
@@ Property / arXiv ID: 1406.0551 / rank @@
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@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
+Normal rank
@@ Property / cites work @@
+ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
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+Q4331836
@@ Property / cites work: Q4331836 / rank @@
+Normal rank
@@ Property / cites work @@
+On the hedging of options on exploding exchange rates
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@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Robust pricing and hedging of double no-touch options
+Normal rank
@@ Property / cites work @@
+Hedging contingent claims with constrained portfolios
+Normal rank
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+Super-replication in stochastic volatility models under portfolio constraints
+Normal rank
@@ Property / cites work @@
+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
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+ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Model-independent superhedging under portfolio constraints
+Normal rank
@@ Property / cites work @@
+Fragility of arbitrage and bubbles in local martingale diffusion models
+Normal rank
@@ Property / cites work @@
+Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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@@ Property / cites work @@
+STRONG BUBBLES AND STRICT LOCAL MARTINGALES
@@ Property / cites work: STRONG BUBBLES AND STRICT LOCAL MARTINGALES / rank @@
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+Robust pricing-hedging dualities in continuous time
+Normal rank
@@ Property / cites work @@
+Rational asset pricing bubbles and portfolio constraints
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+Q5506186
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@@ Property / cites work @@
+ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
@@ Property / cites work: ASSET PRICE BUBBLES IN INCOMPLETE MARKETS / rank @@
+Normal rank
@@ Property / cites work @@
+ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
+Normal rank
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+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, arbitrage, and viability. Free snacks and cheap thrills
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+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
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+Financial options and statistical prediction intervals
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@@ Property / cites work @@
+The fundamental theorem of asset pricing with cone constraints
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@@ Property / cites work @@
+A Mathematical Theory of Financial Bubbles
@@ Property / cites work: A Mathematical Theory of Financial Bubbles / rank @@
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
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@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
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@@ Property / cites work @@
+The Existence of Probability Measures with Given Marginals
+Normal rank
@@ Property / cites work @@
+Some Minimax Theorems.
@@ Property / cites work: Some Minimax Theorems. / rank @@
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+journals/fs/CoxHO16
@@ Property / DBLP publication ID: journals/fs/CoxHO16 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:309166