Pages that link to "Item:Q4763538"
From MaRDI portal
The following pages link to Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (Q4763538):
Displayed 50 items.
- Utility maximization with convex constraints and partial information (Q996765) (← links)
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (Q997952) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Cooperative hedging with a higher interest rate for borrowing (Q998275) (← links)
- Robust static hedging of barrier options in stochastic volatility models (Q1044210) (← links)
- A dual characterization of self-generation and exponential forward performances (Q1049561) (← links)
- Backward stochastic differential equations with constraints on the gains-process (Q1307453) (← links)
- On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
- Jensen's inequality for \(g\)-expectation. II (Q1420191) (← links)
- Optimal consumption from investment and random endowment in incomplete semimartingale markets. (Q1433880) (← links)
- Nonlinear Doob-Meyer decomposition with jumps. (Q1566019) (← links)
- Sublinear price functionals under portfolio constraints (Q1567183) (← links)
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets (Q1578577) (← links)
- Optimal insurance demand under marked point processes shocks. (Q1578607) (← links)
- Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) (← links)
- On the super replication price of unbounded claims (Q1769420) (← links)
- Pricing and hedging of american contingent claims in incomplete markets (Q1806063) (← links)
- On the pricing of contingent claims under constraints (Q1814741) (← links)
- Utility based optimal hedging in incomplete markets. (Q1872394) (← links)
- Minimizing shortfall risk and applications to finance and insurance problems (Q1872413) (← links)
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. (Q1872428) (← links)
- A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
- Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) (← links)
- A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. (Q1879481) (← links)
- Conservative delta hedging. (Q1884835) (← links)
- Approximation pricing and the variance-optimal martingale measure (Q1922074) (← links)
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Conditional dominance criteria: Definition and application to risk-management (Q1974031) (← links)
- Endogenous collateral (Q2387402) (← links)
- On convergence to the exponential utility problem (Q2464849) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- A comonotonic theorem for BSDEs (Q2485815) (← links)
- Static arbitrage bounds on basket option prices (Q2492673) (← links)
- Minimax pricing and Choquet pricing (Q2499830) (← links)
- Dynamic exponential utility indifference valuation (Q2572403) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- Super-replication and utility maximization in large financial markets (Q2575816) (← links)
- MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET (Q2786037) (← links)
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
- On the super-replicating approach when trading a derivative is limited (Q3502189) (← links)
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (Q3523568) (← links)
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3523581) (← links)
- The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728) (← links)
- Mean Variance Hedging in a General Jump Model (Q3565098) (← links)
- Duality in static hedging of barrier options (Q3625230) (← links)
- A stochastic target formulation for optimal switching problems in finite horizon (Q3630058) (← links)
- The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps (Q3633143) (← links)
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q4419301) (← links)