Pages that link to "Item:Q4213035"
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The following pages link to Robustness of the Black and Scholes Formula (Q4213035):
Displayed 50 items.
- Tractable hedging with additional hedge instruments (Q539149) (← links)
- Optimal arbitrage under model uncertainty (Q657697) (← links)
- On the optimal design of insurance contracts with guarantees (Q659256) (← 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)
- On the value of optimal stopping games (Q862220) (← links)
- Convexity preserving jump-diffusion models for option pricing (Q874977) (← links)
- Comparison of semimartingales and Lévy processes (Q879255) (← 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)
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581) (← links)
- Volatility misspecification, option pricing and superreplication via coupling (Q1296625) (← links)
- Volatility time and properties of option prices (Q1425480) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- Conservative delta hedging. (Q1884835) (← links)
- Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
- Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
- Stability of utility-maximization in incomplete markets (Q2464860) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← 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)
- Maturity randomization for stochastic control problems (Q2496502) (← links)
- The American put is log-concave in the log-price (Q2581491) (← links)
- A Simple Model for Option Pricing with Jumping Stochastic Volatility (Q2703110) (← links)
- OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER (Q3086257) (← links)
- BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS (Q3168858) (← links)
- On the perpetual American put options for level dependent volatility models with jumps (Q3169212) (← links)
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590) (← links)
- Risk Measures and Robust Optimization Problems (Q3424149) (← links)
- Calibration of a nonlinear feedback option pricing model (Q3439871) (← links)
- Convergence of At-The-Money Implied Volatilities to the Spot Volatility (Q3516426) (← links)
- UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS (Q3523582) (← links)
- Coupling smiles (Q3539543) (← links)
- Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator (Q3624894) (← links)
- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED (Q4419302) (← links)
- Perpetual American put options in a level-dependent volatility model (Q4462704) (← links)
- Liquidity and credit risk (Q4541602) (← links)
- The mean comparison theorem cannot be extended to the Poisson case (Q4660544) (← links)
- OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS (Q4662052) (← links)
- A class of solvable singular stochastic control problems (Q4700350) (← links)
- Superreplication of Options on Several Underlying Assets (Q5312838) (← links)
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
- PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS (Q5427661) (← links)
- Some short elements on hedging credit derivatives (Q5429588) (← links)
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems (Q5443709) (← links)
- HEDGING WITH ENERGY (Q5455260) (← links)