Pages that link to "Item:Q1922074"
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The following pages link to Approximation pricing and the variance-optimal martingale measure (Q1922074):
Displaying 50 items.
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
- Mean-variance hedging with oil futures (Q377447) (← links)
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information (Q424343) (← links)
- Application of Moore-Penrose inverse in deciding the minimal martingale measure (Q601957) (← links)
- Mixed hedging under additive market price information (Q611079) (← links)
- Indifference valuation in incomplete binomial models (Q613732) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Quantile hedging for guaranteed minimum death benefits (Q659169) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- Dynamic programming and mean-variance hedging with partial execution risk (Q836034) (← links)
- \(q\)-optimal martingale measures for discrete time models (Q842819) (← links)
- Portfolio optimization in a semi-Markov modulated market (Q843965) (← links)
- Comparison of option prices in semimartingale models (Q854274) (← links)
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
- Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets (Q939332) (← links)
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan (Q939338) (← links)
- An analytical characterization for an optimal change of Gaussian measures (Q955485) (← links)
- A risk reserve model for hedging in incomplete markets (Q975891) (← links)
- The Föllmer-Schweizer decomposition: comparison and description (Q981002) (← links)
- Option pricing when the regime-switching risk is priced (Q1036916) (← links)
- On \(L^2\)-projections on a space of stochastic integrals (Q1381569) (← links)
- On transformations of actuarial valuation principles. (Q1413264) (← links)
- Indifference pricing of insurance contracts in a product space model: Applications (Q1413398) (← links)
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process (Q1417729) (← links)
- Variance-optimal martingale measures for diffusion processes with stochastic coefficients (Q1711096) (← links)
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047) (← links)
- An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate (Q1782016) (← links)
- Simplified mean-variance portfolio optimisation (Q1938980) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- A class of optimal portfolio liquidation problems with a linear decreasing impact (Q1992659) (← links)
- Revisiting optimal investment strategies of value-maximizing insurance firms (Q2038230) (← links)
- Mean-variance hedging in the presence of estimation risk (Q2059297) (← links)
- Optimal robust mean-variance hedging in incomplete financial markets (Q2255960) (← links)
- Backward stochastic partial differential equations related to utility maximization and hedging (Q2255961) (← links)
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827) (← links)
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences (Q2273979) (← links)
- Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
- Quadratic minimization with portfolio and terminal wealth constraints (Q2351638) (← links)
- On the structure of general mean-variance hedging strategies (Q2373572) (← links)
- Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393) (← links)
- Continuous-time mean-variance portfolio selection with random horizon (Q2441394) (← links)
- The optimal mean-variance investment strategy under value-at-risk constraints (Q2445346) (← links)
- Pricing and hedging of variable annuities with state-dependent fees (Q2513614) (← links)
