Pages that link to "Item:Q4763538"

The following pages link to Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (Q4763538):

Displaying 50 items.

• Superreplication when trading at market indifference prices (Q261922) (← links)
• Stability of utility maximization in nonequivalent markets (Q287676) (← links)
• Dual representation of minimal supersolutions of convex BSDEs (Q297463) (← links)
• Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications (Q321236) (← links)
• Jensen's inequality for generalized Peng's \(g\)-expectations and its applications (Q370129) (← links)
• Probabilistic aspects of finance (Q373529) (← links)
• Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing (Q377458) (← links)
• Martingale optimal transport and robust hedging in continuous time (Q466902) (← links)
• Optimal investment, consumption-leisure, insurance and retirement choice (Q470684) (← links)
• The super-replication theorem under proportional transaction costs revisited (Q475314) (← links)
• Cooperative hedging in the complete market under \(g\)-expectation constraint (Q475681) (← links)
• The efficient hedging problem for American options (Q483722) (← links)
• Optimal investment with counterparty risk: a default-density model approach (Q484210) (← links)
• Dynamic robust duality in utility maximization (Q519879) (← links)
• Tractable hedging with additional hedge instruments (Q539149) (← links)
• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
• An application of dynamic programming principle in corporate international optimal investment and consumption choice problem (Q624702) (← links)
• Quantile hedging for guaranteed minimum death benefits (Q659169) (← 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)
• Filtration consistent nonlinear expectations and evaluations of contingent claims (Q705074) (← links)
• Robust superhedging with jumps and diffusion (Q744974) (← links)
• Convergence of utility indifference prices to the superreplication price (Q857825) (← links)
• A super-replication theorem in Kabanov's model of transaction costs (Q881423) (← links)
• Pricing and hedging in the presence of extraneous risks (Q885263) (← links)
• Static super-replicating strategies for a class of exotic options (Q931201) (← links)
• Evaluation of insurance products with guarantee in incomplete markets (Q939370) (← links)
• Tractable hedging: An implementation of robust hedging strategies (Q959656) (← links)
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746) (← links)
• Backward SDEs with constrained jumps and quasi-variational inequalities (Q964784) (← links)
• Utility maximization with convex constraints and partial information (Q996765) (← links)
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (Q997952) (← links)
• Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
• Cooperative hedging with a higher interest rate for borrowing (Q998275) (← links)
• Robust static hedging of barrier options in stochastic volatility models (Q1044210) (← links)
• A dual characterization of self-generation and exponential forward performances (Q1049561) (← links)
• Backward stochastic differential equations with constraints on the gains-process (Q1307453) (← links)
• On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
• Jensen's inequality for \(g\)-expectation. II (Q1420191) (← links)
• Optimal consumption from investment and random endowment in incomplete semimartingale markets. (Q1433880) (← links)
• Nonlinear Doob-Meyer decomposition with jumps. (Q1566019) (← links)
• Sublinear price functionals under portfolio constraints (Q1567183) (← links)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets (Q1578577) (← links)
• Optimal insurance demand under marked point processes shocks. (Q1578607) (← links)
• Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) (← links)
• Moral hazard under ambiguity (Q1626505) (← links)
• Market consistent valuations with financial imperfection (Q1640175) (← links)
• On the implied market price of risk under the stochastic numéraire (Q1648909) (← links)
• Reflected backward stochastic differential equations with resistance (Q1650093) (← links)