Pricing, no-arbitrage bounds and robust hedging of instalment options
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Publication:4646512
DOI10.1080/713666004zbMATH Open1405.91608OpenAlexW1512569191MaRDI QIDQ4646512FDOQ4646512
Mark H. A. Davis, Walter Schachermayer, Robert G. Tompkins
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/713666004
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Cited In (12)
- A dynamic programming approach to price installment options
- Relative Entropy Criterion and CAPM-Like Pricing
- Robust pricing and hedging of double no-touch options
- Analytic valuation of European continuous-installment barrier options
- Pricing American continuous-installment options under stochastic volatility model
- Valuing continuous-installment options
- American continuous-installment options of barrier type
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Title not available (Why is that?)
- Valuation of European continuous-installment options
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