Pages that link to "Item:Q1296625"

The following pages link to Volatility misspecification, option pricing and superreplication via coupling (Q1296625):

Displaying 50 items.

• Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
• The weighted reverse Poincaré-type estimates for the difference of two convex vectors (Q308083) (← links)
• Sensitivity analysis of the optimal exercise boundary of the American put option (Q313736) (← links)
• Convex ordering criteria for Lévy processes (Q477990) (← links)
• Hedging with small uncertainty aversion (Q503389) (← links)
• An excursion-theoretic approach to stability of discrete-time stochastic hybrid systems (Q535335) (← links)
• Tractable hedging with additional hedge instruments (Q539149) (← links)
• Adapted Wasserstein distances and stability in mathematical finance (Q784732) (← links)
• Bubbles, convexity and the Black-Scholes equation (Q835063) (← links)
• The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate (Q836062) (← links)
• Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options (Q841614) (← links)
• Comparison of option prices in semimartingale models (Q854274) (← links)
• Convexity preserving jump-diffusion models for option pricing (Q874977) (← links)
• Comparison of semimartingales and Lévy processes (Q879255) (← links)
• General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs (Q898553) (← links)
• Convexity theory for the term structure equation (Q928497) (← links)
• The weighted square integral inequalities for the first derivative of the function of a real variable (Q949004) (← links)
• Wicksellian theory of forest rotation under interest rate variability (Q953760) (← links)
• Tractable hedging: An implementation of robust hedging strategies (Q959656) (← links)
• Limits of one-dimensional diffusions (Q1011152) (← links)
• Volatility time and properties of option prices (Q1425480) (← links)
• Financial options and statistical prediction intervals (Q1431433) (← links)
• A note on the monotone stochastic order for processes with independent increments (Q1650306) (← links)
• Conservative delta hedging. (Q1884835) (← links)
• Preservation of convexity of solutions to parabolic equations (Q1886305) (← links)
• The shape of the value function under Poisson optimal stopping (Q1994915) (← links)
• From Bachelier to Dupire via optimal transport (Q2072111) (← links)
• Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591) (← links)
• Nondifferentiable functions of one-dimensional semimartingales (Q2268695) (← links)
• Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
• Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
• Properties of American option prices (Q2485809) (← links)
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
• The American put is log-concave in the log-price (Q2581491) (← links)
• MONOTONICITY OF PRICES IN HESTON MODEL (Q2841333) (← links)
• PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES (Q2875728) (← links)
• On the perpetual American put options for level dependent volatility models with jumps (Q3169212) (← links)
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590) (← links)
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (Q4419302) (← links)
• Perpetual American put options in a level-dependent volatility model (Q4462704) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• Sequential testing of a Wiener process with costly observations (Q4639218) (← links)
• Dilution, anti-dilution and corporate positions in options on the company's own stocks (Q4647286) (← links)
• The mean comparison theorem cannot be extended to the Poisson case (Q4660544) (← links)
• Super-replication on illiquid markets—semistatic approach (Q4989152) (← links)
• Bayesian Sequential Composite Hypothesis Testing in Discrete Time (Q5079516) (← links)
• Superreplication of Options on Several Underlying Assets (Q5312838) (← links)
• Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions (Q5346507) (← links)
• PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS (Q5427661) (← links)
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL (Q5692938) (← links)