Pages that link to "Item:Q4763538"

The following pages link to Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (Q4763538):

Displayed 50 items.

• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) ‎ (← links)
• Filtration consistent nonlinear expectations and evaluations of contingent claims (Q705074) ‎ (← links)
• Convergence of utility indifference prices to the superreplication price (Q857825) ‎ (← links)
• A super-replication theorem in Kabanov's model of transaction costs (Q881423) ‎ (← links)
• Pricing and hedging in the presence of extraneous risks (Q885263) ‎ (← links)
• Static super-replicating strategies for a class of exotic options (Q931201) ‎ (← links)
• Evaluation of insurance products with guarantee in incomplete markets (Q939370) ‎ (← links)
• Tractable hedging: An implementation of robust hedging strategies (Q959656) ‎ (← links)
• Utility maximization with convex constraints and partial information (Q996765) ‎ (← links)
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (Q997952) ‎ (← links)
• Variance-optimal hedging for processes with stationary independent increments (Q997954) ‎ (← links)
• Cooperative hedging with a higher interest rate for borrowing (Q998275) ‎ (← links)
• Backward stochastic differential equations with constraints on the gains-process (Q1307453) ‎ (← links)
• On martingale measures when asset returns have unpredictable jumps (Q1363465) ‎ (← links)
• Jensen's inequality for \(g\)-expectation. II (Q1420191) ‎ (← links)
• Optimal consumption from investment and random endowment in incomplete semimartingale markets. (Q1433880) ‎ (← links)
• Nonlinear Doob-Meyer decomposition with jumps. (Q1566019) ‎ (← links)
• Sublinear price functionals under portfolio constraints (Q1567183) ‎ (← links)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets (Q1578577) ‎ (← links)
• Optimal insurance demand under marked point processes shocks. (Q1578607) ‎ (← links)
• Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) ‎ (← links)
• On the super replication price of unbounded claims (Q1769420) ‎ (← links)
• Pricing and hedging of american contingent claims in incomplete markets (Q1806063) ‎ (← links)
• On the pricing of contingent claims under constraints (Q1814741) ‎ (← links)
• Utility based optimal hedging in incomplete markets. (Q1872394) ‎ (← links)
• Minimizing shortfall risk and applications to finance and insurance problems (Q1872413) ‎ (← links)
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. (Q1872428) ‎ (← links)
• A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) ‎ (← links)
• Optimal portfolio in partially observed stochastic volatility models. (Q1872462) ‎ (← links)
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) ‎ (← links)
• A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market. (Q1879481) ‎ (← links)
• Conservative delta hedging. (Q1884835) ‎ (← links)
• Approximation pricing and the variance-optimal martingale measure (Q1922074) ‎ (← links)
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096) ‎ (← links)
• Conditional dominance criteria: Definition and application to risk-management (Q1974031) ‎ (← links)
• Endogenous collateral (Q2387402) ‎ (← links)
• On convergence to the exponential utility problem (Q2464849) ‎ (← links)
• Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) ‎ (← links)
• A comonotonic theorem for BSDEs (Q2485815) ‎ (← links)
• Static arbitrage bounds on basket option prices (Q2492673) ‎ (← links)
• Minimax pricing and Choquet pricing (Q2499830) ‎ (← links)
• Dynamic exponential utility indifference valuation (Q2572403) ‎ (← links)
• A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) ‎ (← links)
• Super-replication and utility maximization in large financial markets (Q2575816) ‎ (← links)
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) ‎ (← links)
• On the super-replicating approach when trading a derivative is limited (Q3502189) ‎ (← links)
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (Q3523568) ‎ (← links)
• REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3523581) ‎ (← links)
• The Minimal Entropy and the Convergence of the<i>p</i>-Optimal Martingale Measures in a General Jump Model (Q3535728) ‎ (← links)
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q4419301) ‎ (← links)