Pages that link to "Item:Q1922096"
From MaRDI portal
The following pages link to Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096):
Displaying 50 items.
- Good deal hedging and valuation under combined uncertainty about drift and volatility (Q2296106) (← links)
- Financial asset price bubbles under model uncertainty (Q2296108) (← links)
- On the uniqueness of the optional decomposition of semimartingales (Q2314116) (← links)
- Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty (Q2336966) (← links)
- Arbitrage and duality in nondominated discrete-time models (Q2341632) (← links)
- Utility maximization with addictive consumption habit formation in incomplete semimartingale markets (Q2346076) (← links)
- Calculating the American options in the default model (Q2371608) (← links)
- On the density of properly maximal claims in financial markets with transaction costs (Q2455063) (← links)
- Robust utility maximization with limited downside risk in incomplete markets (Q2464861) (← links)
- Asymptotic pricing in large financial markets (Q2466791) (← links)
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- Dynamic exponential utility indifference valuation (Q2572403) (← links)
- Zero-sum path-dependent stochastic differential games in weak formulation (Q2657913) (← links)
- Reduced-form setting under model uncertainty with non-linear affine intensities (Q2671641) (← links)
- On the optional and orthogonal decompositions of a class of semimartingales (Q2694625) (← links)
- On a generalized optional decomposition theorem (Q2811115) (← links)
- Financial Markets in the Context of the General Theory of Optional Processes (Q2958812) (← links)
- (Q3120795) (← links)
- A simple proof of Kramkov's result on uniform supermartingale decompositions (Q3145077) (← links)
- Pricing with non-smooth utility function (Q3396066) (← links)
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
- Pricing Israeli options: a pathwise approach (Q3429336) (← links)
- Hedging with risk for game options in discrete time (Q3429339) (← links)
- On the super-replicating approach when trading a derivative is limited (Q3502189) (← links)
- A stochastic target formulation for optimal switching problems in finite horizon (Q3630058) (← links)
- RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS (Q3650925) (← links)
- (Q4384414) (← links)
- Options Prices in Incomplete Markets (Q4606385) (← links)
- Some recent developments in stochastic volatility modelling (Q4646765) (← links)
- Hedging jump risk, expected returns and risk premia in jump-diffusion economies (Q4683104) (← links)
- A characterization of the set of local martingale measures (Q4687208) (← links)
- Option bounds (Q4822458) (← links)
- CVaR Hedging in Defaultable Jump-Diffusion Markets (Q5014531) (← links)
- Optional decomposition of optional supermartingales and applications to filtering and finance (Q5087026) (← links)
- European Options in a Nonlinear Incomplete Market Model with Default (Q5131411) (← links)
- A revised option pricing formula with the underlying being banned from short selling (Q5139206) (← links)
- Functional Itô calculus (Q5234333) (← links)
- On characterizing the set of martingale measures in discrete time (Q5255759) (← links)
- Cooperative Hedging in Incomplete Markets (Q5316799) (← links)
- On the Pricing of American Options in Exponential Lévy Markets (Q5443740) (← links)
- Game approach to the optimal stopping problem† (Q5711150) (← links)
- Derivatives pricing via<i>p</i>-optimal martingale measures: some extreme cases (Q5754676) (← links)
- INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS (Q5854314) (← links)
- (Q5856511) (← links)
- A dynamic version of the super-replication theorem under proportional transaction costs (Q5876577) (← links)
- Wealth optimization in an incomplete market driven by a jump-diffusion process (Q5939298) (← links)
- Neural network approximation for superhedging prices (Q6054449) (← links)
- Robustness of Delta Hedging in a Jump-Diffusion Model (Q6109913) (← links)
- On the optional and orthogonal decompositions of supermartingales and applications (Q6170510) (← links)
