Pages that link to "Item:Q4935343"
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The following pages link to Super-replication in stochastic volatility models under portfolio constraints (Q4935343):
Displaying 29 items.
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Optimal arbitrage under model uncertainty (Q657697) (← links)
- Explicit characterization of the super-replication strategy in financial markets with partial transaction costs (Q877726) (← links)
- The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Sublinear price functionals under portfolio constraints (Q1567183) (← links)
- A comparative study of pricing approaches for longevity instruments (Q1799642) (← links)
- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) (← links)
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
- Continuity of utility maximization under weak convergence (Q2024121) (← links)
- Pathwise superhedging on prediction sets (Q2282966) (← links)
- Pricing and hedging in incomplete markets with model uncertainty (Q2286877) (← links)
- When terminal facelift enforces delta constraints (Q2339121) (← links)
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions (Q2443185) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- Maturity randomization for stochastic control problems (Q2496502) (← links)
- The multi-dimensional super-replication problem under gamma constraints (Q2575852) (← links)
- BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (Q2788692) (← links)
- A Stochastic Target Approach for P&L Matching Problems (Q2925345) (← links)
- Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (Q4455898) (← links)
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint (Q4588841) (← links)
- BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS (Q4645329) (← links)
- Some recent developments in stochastic volatility modelling (Q4646765) (← links)
- Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327) (← links)
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework (Q6054138) (← links)
- Capital Growth and Survival Strategies in a Market with Endogenous Prices (Q6169624) (← links)
