Duality Formulas for Robust Pricing and Hedging in Discrete Time (Q4607049): 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 @@
+Q5386174
@@ Property / cites work: Q5386174 / rank @@
+Normal rank
@@ Property / cites work @@
+Super-replication with nonlinear transaction costs and volatility uncertainty
+Normal rank
@@ Property / cites work @@
+Duality for increasing convex functionals with countably many marginal constraints
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
+Normal rank
@@ Property / cites work @@
+Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\)
+Normal rank
@@ Property / cites work @@
+Q3415147
@@ Property / cites work: Q3415147 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Arbitrage and Hedging in Model-Independent Markets with Frictions
+Normal rank
@@ Property / cites work @@
+Universal arbitrage aggregator in discrete-time markets under uncertainty
+Normal rank
@@ Property / cites work @@
+Model-free superhedging duality
@@ Property / cites work: Model-free superhedging duality / rank @@
+Normal rank
@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
+Normal rank
@@ Property / cites work @@
+Put-call parity and market frictions
@@ Property / cites work: Put-call parity and market frictions / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES ON ORLICZ HEARTS
@@ Property / cites work: RISK MEASURES ON ORLICZ HEARTS / rank @@
+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 @@
+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Duality and convergence for binomial markets with friction
+Normal rank
@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
+Normal rank
@@ Property / cites work @@
+Robust hedging with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Real Analysis and Probability
@@ Property / cites work: Real Analysis and Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Model-independent superhedging under portfolio constraints
+Normal rank
@@ Property / cites work @@
+Minimax Theorems
@@ Property / cites work: Minimax Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time.
+Normal rank
@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for continuous processes under small transaction costs
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+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 @@
+Coherent risk measures and good-deal bounds
@@ Property / cites work: Coherent risk measures and good-deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+On mass transportation
@@ Property / cites work: On mass transportation / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic utility-based good deal bounds
@@ Property / cites work: Dynamic utility-based good deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Financial economics without probabilistic prior assumptions
+Normal rank
@@ Property / cites work @@
+Convex Hedging in Incomplete Markets
@@ Property / cites work: Convex Hedging in Incomplete Markets / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+Fundamental Theorems of Asset Pricing for Good Deal Bounds
+Normal rank