Robustness of the Black and Scholes Formula
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Publication:4213035
DOI10.1111/1467-9965.00047zbMATH Open0910.90008OpenAlexW2018055712WikidataQ56565474 ScholiaQ56565474MaRDI QIDQ4213035FDOQ4213035
Authors: Nicole El Karoui, Monique Jeanblanc, Steven Shreve 
Publication date: 2 December 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00047
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Cited In (only showing first 100 items - show all)
- Calibration of a nonlinear feedback option pricing model
- Robustness of the Black-Scholes approach in the case of options on several assets
- On the value of optimal stopping games
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Exact Superreplication Strategies for a Class of Derivative Assets
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Tractable hedging with additional hedge instruments
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Sharp Upper and Lower Bounds for Basket Options
- Optimal arbitrage under model uncertainty
- General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Adoption of uncertain multi-stage technology projects: a real options approach
- Volatility time and properties of option prices
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- Bubbles, convexity and the Black-Scholes equation
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- Tractable hedging: An implementation of robust hedging strategies
- Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
- Superreplication of Options on Several Underlying Assets
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- Asymptotic replication with modified volatility under small transaction costs
- Black-Scholes representation for Asian options
- A simple model for option pricing with jumping stochastic volatility
- Convex comparison inequalities for non-Markovian stochastic integrals
- Wicksellian theory of forest rotation under interest rate variability
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Model risk of contingent claims
- Kriging of financial term-structures
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Risk Measures and Robust Optimization Problems
- On the optimal design of insurance contracts with guarantees
- The weighted square integral inequalities for the first derivative of the function of a real variable
- When terminal facelift enforces delta constraints
- Misspecified asset price models and robust hedging strategies
- Optimal hedging strategies for misspecified asset price models
- Conservative delta hedging.
- Efficient discretization of stochastic integrals
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- Skewness premium with Lévy processes
- The mean comparison theorem cannot be extended to the Poisson case
- Volatility misspecification, option pricing and superreplication via coupling
- Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
- The weighted reverse Poincaré-type estimates for the difference of two convex vectors
- Financial options and statistical prediction intervals
- Riding on the smiles
- Pathwise no-arbitrage in a class of delta hedging strategies
- OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS
- Optimal investment and price dependence in a semi-static market
- Comparison of option prices in semimartingale models
- Adapted Wasserstein distances and stability in mathematical finance
- Effectiveness of CPPI strategies under discrete-time trading
- Stability of utility-maximization in incomplete markets
- Convexity theory for the term structure equation
- Hedging with small uncertainty aversion
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Convex ordering criteria for Lévy processes
- Comparison of semimartingales and Lévy processes
- Probabilistic aspects of finance
- Comparison results for stochastic volatility models via coupling
- The tracking error rate of the delta-gamma hedging strategy
- Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
- Convexity preserving jump-diffusion models for option pricing
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- Properties of American option prices
- A class of solvable singular stochastic control problems
- Liquidity and credit risk
- Optimal exercise of an executive stock option by an insider
- Financial markets with volatility uncertainty
- Uncertain volatility and the risk-free synthesis of derivatives
- Bounds on option prices in point process diffusion models
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Combining statistical intervals and market prices: the worst case state price distribution
- The shape of the value function under Poisson optimal stopping
- Optimal portfolio positioning within generalized Johnson distributions
- Monotonicity of prices in Heston model
- It only takes a few moments to hedge options
- Stochastic ordering by \(g\)-expectations
- Perpetual American put options in a level-dependent volatility model
- The American put is log-concave in the log-price
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Some short elements on hedging credit derivatives
- Comparison results for GARCH processes
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- Portfolios of American options under general preferences: results and counterexamples
- UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
- A note on convex ordering for stable stochastic integrals
- Executive stock option exercise with full and partial information on a drift change point
- On the structure of proper Black-Scholes formulae
- Option pricing models without probability: a rough paths approach
- European options sensitivity with respect to the correlation for multidimensional Heston models
- A novel portfolio optimization method and its application to the hedging problem
- Pricing equations in jump-to-default models
- On the perpetual American put options for level dependent volatility models with jumps
- Option pricing in sandwiched Volterra volatility model
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