scientific article; zbMATH DE number 6346534

MaRDI QIDQ3190964zbMATH OpenFDO

Authors Alet Roux, Chih-Yuan Tien, Tomasz Zastawniak

Publication date 19 September 2014

Full work available at URL http://gsajournal.yolasite.com/resources/7.pdf

zbMATH Keywords

convex dualityderivative securitiesstochastic optimisationtransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• scientific article; zbMATH DE number 1535648
• Market clearing and derivative pricing
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
• Market completion with derivative securities
• Derivative securities and difference methods
• Incomplete markets and derivative assets
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Derivative security pricing. Techniques, methods and applications
• Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
• Pricing interest-rate-derivative securities

Cited in

(5)

• Derivatives pricing with market impact and limit order book
• On derivatives with illiquid underlying and market manipulation
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
• scientific article; zbMATH DE number 1222793 (Why is no real title available?)
• Market completion with derivative securities

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3190964)