Pages that link to "Item:Q1162768"
From MaRDI portal
The following pages link to Martingales and stochastic integrals in the theory of continuous trading (Q1162768):
Displaying 50 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749) (← links)
- Dynamics of state price densities (Q302157) (← links)
- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents (Q305826) (← links)
- Generalized moment estimation of stochastic differential equations (Q311323) (← links)
- Benchmarking in two price financial markets (Q315468) (← links)
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (Q318379) (← links)
- Valuation of employee stock options using the exercise multiple approach and life tables (Q320251) (← links)
- Optimal search for parameters in Monte Carlo simulation for derivative pricing (Q321025) (← links)
- Valuation of commodity derivatives with an unobservable convenience yield (Q342244) (← links)
- On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (Q375247) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models (Q375376) (← links)
- Numerical solutions for option pricing models including transaction costs and stochastic volatility (Q411468) (← links)
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering (Q420141) (← links)
- Numerical simulations for the pricing of options in jump diffusion markets (Q442180) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (Q451153) (← links)
- Hedging processes for catastrophe options (Q457624) (← links)
- A note on the condition of no unbounded profit with bounded risk (Q468417) (← links)
- Optimal portfolio choice for a behavioural investor in continuous-time markets (Q470664) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Convex duality in optimal investment under illiquidity (Q484140) (← links)
- International market links and volatility transmission (Q528027) (← links)
- The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads (Q553523) (← links)
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
- An approximation scheme for Black-Scholes equations with delays (Q601061) (← links)
- Interest rate theory and geometry (Q604623) (← links)
- Shape factors and cross-sectional risk (Q609842) (← links)
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process (Q613244) (← links)
- Closed-form solutions for pricing credit-risky bonds and bond options (Q632832) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Credit risky securities valuation under a contagion model with interacting intensities (Q642743) (← links)
- Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
- On a statistical analysis of implied data (Q651380) (← links)
- Characteristic functions and option valuation in a Markov chain market (Q651452) (← links)
- Regime-switching risk: to price or not to price? (Q655231) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- Longevity bond premiums: the extreme value approach and risk cubic pricing (Q659198) (← links)
- Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- Risk measure pricing and hedging in incomplete markets (Q665707) (← links)
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model (Q665729) (← links)
- Correlation and the pricing of risks (Q665786) (← links)
- The fundamental theorem of asset pricing for continuous processes under small transaction costs (Q666440) (← links)
- An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve (Q670282) (← links)
- The fundamental theorem of asset pricing under transaction costs (Q693033) (← links)
- Rational asset pricing bubbles and portfolio constraints (Q694734) (← links)
