Robust superhedging with jumps and diffusion (Q744974): Difference between revisions

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-.1016/j.spa.2015.07.008
@@ Property / DOI: 10.1016/j.spa.2015.07.008 / rank @@
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+MaRDI publication profile
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+W2963189739
@@ Property / OpenAlex ID: W2963189739 / rank @@
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+.1674
@@ Property / arXiv ID: 1407.1674 / rank @@
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@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
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@@ Property / cites work @@
+On Hedging American Options under Model Uncertainty
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+Stochastic optimal control. The discrete time case
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+Arbitrage and duality in nondominated discrete-time models
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+Duality for increasing convex functionals with countably many marginal constraints
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@@ Property / cites work @@
+Q4263612
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@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
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+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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@@ Property / cites work @@
+Hedging of game options under model uncertainty in discrete time
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@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
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@@ Property / cites work @@
+Martingale optimal transport in the Skorokhod space
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+Robust hedging with proportional transaction costs
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Optional decomposition and Lagrange multipliers
@@ Property / cites work: Optional decomposition and Lagrange multipliers / rank @@
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@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
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@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
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@@ Property / cites work @@
+On pathwise stochastic integration
@@ Property / cites work: On pathwise stochastic integration / rank @@
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@@ Property / cites work @@
+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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@@ Property / cites work @@
+Superreplication under volatility uncertainty for measurable claims
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@@ Property / cites work @@
+Measurability of semimartingale characteristics with respect to the probability law
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@@ Property / cites work @@
+Nonlinear Lévy processes and their characteristics
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@@ Property / cites work @@
+A quasi-sure approach to the control of non-Markovian stochastic differential equations
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+Pathwise construction of stochastic integrals
@@ Property / cites work: Pathwise construction of stochastic integrals / rank @@
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@@ Property / cites work @@
+Random \(G\)-expectations
@@ Property / cites work: Random \(G\)-expectations / rank @@
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@@ Property / cites work @@
+Superhedging and Dynamic Risk Measures under Volatility Uncertainty
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@@ Property / cites work @@
+Constructing sublinear expectations on path space
@@ Property / cites work: Constructing sublinear expectations on path space / rank @@
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@@ Property / cites work @@
+Q5436616
@@ Property / cites work: Q5436616 / rank @@
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@@ Property / cites work @@
+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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@@ Property / cites work @@
+On the robust superhedging of measurable claims
@@ Property / cites work: On the robust superhedging of measurable claims / rank @@
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@@ Property / cites work @@
+Martingale representation theorem for the \(G\)-expectation
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@@ Property / cites work @@
+Dual formulation of second order target problems
@@ Property / cites work: Dual formulation of second order target problems / rank @@
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@@ Property / cites work @@
+Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
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@@ Property / DOI @@
+.1016/J.SPA.2015.07.008
@@ Property / DOI: 10.1016/J.SPA.2015.07.008 / rank @@
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