Pages that link to "Item:Q751951"
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The following pages link to Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951):
Displayed 29 items.
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents (Q956451) (← links)
- Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
- Pricing options on securities with discontinuous returns (Q1313131) (← links)
- Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty (Q1350670) (← links)
- On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
- Stochastic time changes in catastrophe option pricing (Q1381450) (← links)
- Stability for multidimensional jump-diffusion processes (Q1593618) (← links)
- A stochastic maximum principle for systems with jumps, with applications to finance. (Q1853443) (← links)
- A partial introduction to financial asset pricing theory. (Q1879511) (← links)
- An approximation of American option prices in a jump-diffusion model (Q1915843) (← links)
- Stability of backward stochastic differential equations (Q1915848) (← links)
- Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process'' (Q2460044) (← links)
- Obstacle problem for nonlinear integro-differential equations arising in option pricing (Q2467933) (← links)
- Comparison of insiders' optimal strategies depending on the type of side-information (Q2568298) (← links)
- Minimization of shortfall risk in a jump-diffusion model (Q2568328) (← links)
- Sufficient Poisson jump diffusion market models revisited (Q2759032) (← links)
- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING (Q3523537) (← links)
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS (Q3523573) (← links)
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model (Q3617309) (← links)
- Insider Trading in a Continuous Time Market Model (Q4216118) (← links)
- Term structure of interest rates: Discontinuous case (Q4234440) (← links)
- Optimal Consumption‐Portfolio Policies With Habit Formation<sup>1</sup> (Q4345934) (← links)
- Option Pricing For Jump Diffusions: Approximations and Their Interpretation (Q4372009) (← links)
- The European options hedge perfectly in a Poisson-Gaussian stock market model (Q4551201) (← links)
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
- Pricing Cliquet Options in Jump-Diffusion Models (Q5711157) (← links)
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (Q5899409) (← links)
- Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model (Q5899410) (← links)
- Wealth optimization in an incomplete market driven by a jump-diffusion process (Q5939298) (← links)