scientific article; zbMATH DE number 17495
From MaRDI portal
Publication:3974816
Recommendations
Cited in
(only showing first 100 items - show all)- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Equal risk pricing under convex trading constraints
- Option pricing and Esscher transform under regime switching
- Tempered stable distributions and processes
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- A dynamic reinsurance theory
- Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- On option pricing under a completely random measure via a generalized Esscher transform
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- GARCH option pricing: A semiparametric approach
- Reviewing alternative characterizations of Meixner process
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- On Bayesian value at risk: from linear to non-linear portfolios
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
- Option hedging for semimartingales
- Informed traders' hedging with news arrivals
- Option pricing when the regime-switching risk is priced
- Performance of utility-based strategies for hedging basis risk
- A simple novel approach to valuing risky zero coupon bond in a Markov regime switching economy
- Separation results for multi-product inventory hedging problems
- Asymptotic analysis of option pricing in a Markov modulated market
- Pricing and hedging of american contingent claims in incomplete markets
- Pricing participating products under a generalized jump-diffusion model
- The pricing of credit default swaps under a Markov-modulated Merton's structural model
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- A hidden Markov regime-switching model for option valuation
- Capturing parameter risk with convex risk measures
- BSDEs under partial information and financial applications
- Mean-variance hedging with oil futures
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Option pricing and hedging under a stochastic volatility Lévy process model
- An empirical comparison of two stochastic volatility models using Indian market data
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Portfolios and risk premia for the long run
- Variance-optimal hedging for target volatility options
- Accounting for risk aversion in derivatives purchase timing
- Probabilistic aspects of finance
- Quadratic hedging methods for defaultable claims
- Martingale densities for general asset prices
- Properties of multinomial lattices with cumulants for option pricing and hedging
- A PDE approach for risk measures for derivatives with regime switching
- On the structure of general mean-variance hedging strategies
- On the pricing of contingent claims under constraints
- A mathematical theory of financial bubbles
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Pricing annuity guarantees under a regime-switching model
- Pricing contingent claims on stocks driven by Lévy processes
- Optimal robust mean-variance hedging in incomplete financial markets
- Coherent hedging in incomplete markets
- Option pricing with threshold diffusion processes
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- The \(p\)-optimal martingale measure in continuous trading models
- The mean correcting martingale measures for exponential additive processes
- Number of paths versus number of basis functions in American option pricing
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Valuation of FX barrier options under stochastic volatility
- Real options with constant relative risk aversion
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Implied and realized volatility: empirical model selection
- Asymptotically optimal discretization of hedging strategies with jumps
- Conservative delta hedging.
- Indifference prices and implied volatilities
- Asymptotic analysis of hedging errors in models with jumps
- Exponential utility indifference valuation in two Brownian settings with stochastic correlation
- Pricing Asian options in a semimartingale model
- Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
- A structural risk-neutral model of electricity prices
- Backward stochastic partial differential equations related to utility maximization and hedging
- Information on jump sizes and hedging
- Local risk-minimization for defaultable claims with recovery process
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Fast deterministic pricing of options on Lévy driven assets
- Exponential stock models driven by tempered stable processes
- What does the market price of risk tell us in the single factor interest rate model?
- Jumping hedges on the strength of the Mellin transform
- A note on the hedging of options by Malliavin calculus in a jump-diffusion market
- Smallest \(g\)-supersolution with constraint
- On some filtering problems arising in mathematical finance
- Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- Using managerial revenue and cost estimates to value early stage real option investments
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
- Shot-noise processes in finance
- Sensitivity analysis of the utility maximisation problem with respect to model perturbations
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- BSDEs, càdlàg martingale problems, and orthogonalization under basis risk
- The implied Sharpe ratio
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
- Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
- Hedging diffusion processes by local risk minimization with applications to index tracking
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model
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 Q3974816)