Pages that link to "Item:Q1838779"
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The following pages link to A stochastic calculus model of continuous trading: Complete markets (Q1838779):
Displaying 50 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (Q318379) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Market completion with derivative securities (Q503398) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- Characteristic functions and option valuation in a Markov chain market (Q651452) (← links)
- Regime-switching risk: to price or not to price? (Q655231) (← links)
- Minimum return guarantees with fund switching rights -- an optimal stopping problem (Q658637) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
- A hidden Markov regime-switching model for option valuation (Q661263) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- Risk measure pricing and hedging in incomplete markets (Q665707) (← links)
- On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) (← links)
- Total risk aversion and the pricing of options (Q811316) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets (Q862209) (← links)
- Pathwise stochastic integration and applications to the theory of continuous trading (Q912481) (← links)
- On the pricing of American options (Q913622) (← links)
- Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153) (← links)
- On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174) (← links)
- A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Option pricing when the regime-switching risk is priced (Q1036916) (← links)
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process (Q1103505) (← links)
- On pricing of market-indexed certificates of deposit (Q1123103) (← links)
- Option hedging for semimartingales (Q1176550) (← links)
- Martingale densities for general asset prices (Q1199742) (← links)
- Pricing contingent claims on stocks driven by Lévy processes (Q1305424) (← links)
- Optimal consumption and arbitrage in incomplete, finite state security markets (Q1313172) (← links)
- General framework for pricing derivative securities (Q1346157) (← links)
- Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets (Q1367852) (← links)
- Actuarial bridges to dynamic hedging and option pricing (Q1381457) (← links)
- On dynamic investment strategies (Q1583162) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- On the price of risk under a regime switching CGMY process (Q1627726) (← links)
- On complete securities markets and the martingale property of securities prices (Q1676595) (← links)
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (Q1687373) (← links)
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee (Q1697221) (← links)
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims (Q1739048) (← links)
- Managing risks from climate impacted hazards -- the value of investment flexibility under uncertainty (Q1744490) (← links)
- Hedging options for a large investor and forward-backward SDE's (Q1814742) (← links)
- Approximation pricing and the variance-optimal martingale measure (Q1922074) (← links)
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework (Q1974032) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Asset pricing using trading volumes in a hidden regime-switching environment (Q2013295) (← links)
