Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
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(11)- Model-free CPPI
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- Constructing functions with prescribed pathwise quadratic variation
- Probabilistic aspects of finance
- Robustness for path-dependent volatility models
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- On a class of generalized Takagi functions with linear pathwise quadratic variation
- Robustness of Delta Hedging in a Jump-Diffusion Model
- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
- Path dependent volatility
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