Pages that link to "Item:Q1162768"
From MaRDI portal
The following pages link to Martingales and stochastic integrals in the theory of continuous trading (Q1162768):
Displaying 50 items.
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- On the pricing of exotic options: a new closed-form valuation approach (Q2213572) (← links)
- Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
- No-arbitrage with multiple-priors in discrete time (Q2229558) (← links)
- Pricing without no-arbitrage condition in discrete time (Q2235871) (← links)
- The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
- Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs) (Q2243196) (← links)
- Portfolio selection: a review (Q2247913) (← links)
- The pricing of credit risky securities under stochastic interest rate model with default correlation. (Q2249860) (← links)
- FTAP in finite discrete time with transaction costs by utility maximization (Q2255008) (← links)
- Asymptotic arbitrage with small transaction costs (Q2255014) (← links)
- Backward stochastic partial differential equations related to utility maximization and hedging (Q2255961) (← links)
- Valuation of a repriceable executive stock option (Q2268392) (← links)
- Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992) (← links)
- Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs (Q2274232) (← links)
- Hedging of the European option with nonsmooth payment function (Q2274555) (← links)
- Pricing under dynamic risk measures (Q2278417) (← links)
- Pricing European options in a discrete time model for the limit order book (Q2283686) (← links)
- On the multidimensional Black-Scholes partial differential equation (Q2288905) (← links)
- Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals (Q2314745) (← links)
- Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
- Application of Bayesian penalized spline regression for internal modeling in life insurance (Q2323667) (← links)
- Asymptotic exponential arbitrage in the Schwartz commodity futures model (Q2330297) (← links)
- Optimal sharing rule for a household with a portfolio management problem (Q2334838) (← links)
- New methods with capped options for pricing American options (Q2336196) (← links)
- Minimal supersolutions of BSDEs under volatility uncertainty (Q2347450) (← links)
- Market-based estimation of stochastic volatility models (Q2347717) (← links)
- Model-based pricing for financial derivatives (Q2347719) (← links)
- No-arbitrage bounds for financial scenarios (Q2356278) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- The finite horizon investor problem with a budget constraint (Q2379989) (← links)
- Finite approximation schemes for Lévy processes, and their application to optimal stopping problems (Q2381968) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Minimal supersolutions of convex BSDEs (Q2434909) (← links)
- Backward stochastic viability and related properties on \(Z\) for BSDEs with applications (Q2439873) (← links)
- Best portfolio insurance for long-term investment strategies in realistic conditions (Q2442525) (← links)
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (Q2443194) (← links)
- Model misspecification analysis for bond options and Markovian hedging strategies (Q2462883) (← links)
- Valuation of vulnerable American options with correlated credit risk (Q2462884) (← links)
- The supermartingale property of the optimal wealth process for general semimartingales (Q2463714) (← links)
- Pricing and hedging European options with discrete-time coherent risk (Q2463721) (← links)
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control (Q2464235) (← links)
- Extending the Merton model: A hybrid approach to assessing credit quality (Q2470199) (← links)
- Pricing commodity spread options with stochastic term structure of convenience yields and interest rates (Q2471740) (← links)
- Competitive prices for a stochastic input-output model with infinite time horizon (Q2472442) (← links)
- A theorem on martingale selection for relatively open convex set-valued random sequences (Q2473737) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Default-risky bond prices with jumps, liquidity risk and incomplete information (Q2477606) (← links)
- Real R\&D options with time-to-learn and learning-by-doing (Q2480213) (← links)
