ROBUST TRADING OF IMPLIED SKEW (Q2976126): Difference between revisions

@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
+Normal rank
@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
+Normal rank
@@ Property / cites work @@
+Weak reflection principle for Lévy processes
@@ Property / cites work: Weak reflection principle for Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Universal arbitrage aggregator in discrete-time markets under uncertainty
+Normal rank
@@ Property / cites work @@
+Local volatility dynamic models
@@ Property / cites work: Local volatility dynamic models / rank @@
+Normal rank
@@ Property / cites work @@
+TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
+Normal rank
@@ Property / cites work @@
+Tangent Lévy market models
@@ Property / cites work: Tangent Lévy market models / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation of Implied Volatility Surfaces via Tangent Lévy Models
+Normal rank
@@ Property / cites work @@
+Static Hedging under Time-Homogeneous Diffusions
@@ Property / cites work: Static Hedging under Time-Homogeneous Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
+Normal rank
@@ Property / cites work @@
+Robust pricing and hedging of double no-touch options
+Normal rank
@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
+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 @@
+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
+Normal rank
@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
+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 @@
+Uncertain volatility and the risk-free synthesis of derivatives
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Conservative delta hedging.
@@ Property / cites work: Conservative delta hedging. / rank @@
+Normal rank
@@ Property / cites work @@
+Financial options and statistical prediction intervals
+Normal rank
@@ Property / cites work @@
+PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
+Normal rank
@@ Property / cites work @@
+TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
+Normal rank