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

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
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: Pricing and hedging derivative securities in markets with uncertain volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak reflection principle for Lévy processes / 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: Arbitrage and duality in nondominated discrete-time models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Hedging of Barrier Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Universal arbitrage aggregator in discrete-time markets under uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local volatility dynamic models / rank
 
Normal rank
Property / cites work
 
Property / cites work: TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tangent Lévy market models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of Implied Volatility Surfaces via Tangent Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Static Hedging under Time-Homogeneous Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO 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: Root's barrier: construction, optimality and applications to variance options / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A theoretical framework for the pricing of contingent claims in the presence of model uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale optimal transport and robust hedging in continuous time / 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: Uncertain volatility and the risk-free synthesis of derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conservative delta hedging. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial options and statistical prediction intervals / rank
 
Normal rank
Property / cites work
 
Property / cites work: PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS / rank
 
Normal rank

Revision as of 16:06, 13 July 2024

scientific article
Language Label Description Also known as
English
ROBUST TRADING OF IMPLIED SKEW
scientific article

    Statements

    ROBUST TRADING OF IMPLIED SKEW (English)
    0 references
    0 references
    0 references
    13 April 2017
    0 references
    implied skew
    0 references
    robust methods
    0 references
    weak reflection principle
    0 references
    LVG model
    0 references
    0 references

    Identifiers