Pages that link to "Item:Q4345920"

The following pages link to From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹ (Q4345920):

Displaying 44 items.

• Rough path recursions and diffusion approximations (Q259589) (← links)
• Asymptotic properties of Monte Carlo estimators of diffusion processes (Q278039) (← links)
• Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• Duality and convergence for binomial markets with friction (Q354186) (← links)
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging) (Q375247) (← links)
• Hedging of game options with the presence of transaction costs (Q389062) (← links)
• Stochastic differential utility as the continuous-time limit of recursive utility (Q402100) (← links)
• The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
• Weak approximation of \(G\)-expectations (Q665446) (← links)
• Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate (Q763624) (← links)
• Weak convergence of equity derivatives pricing with default risk (Q893958) (← links)
• The structure of optimal consumption streams in general incomplete markets (Q926391) (← links)
• Lenglart domination inequalities for \(g\)-expectations (Q1036610) (← links)
• Valuing flexibility: An impulse control framework (Q1313148) (← links)
• Dynamic spanning without probabilities (Q1327557) (← links)
• Asymptotic asset pricing and bubbles (Q1744206) (← links)
• Weak convergence of tree methods to price options on defaultable assets (Q1770202) (← links)
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients (Q1805773) (← links)
• Explicit form and robustness of martingale representations. (Q1872167) (← links)
• Error distributions for random grid approximations of multidimensional stochastic integrals (Q1948705) (← links)
• Continuity of utility maximization under weak convergence (Q2024121) (← links)
• Market delay and \(G\)-expectations (Q2289806) (← links)
• Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
• Weak limits of random coefficient autoregressive processes and their application in ruin theory (Q2306085) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• Discrete and continuous time extremes of Gaussian processes (Q2488450) (← links)
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes (Q2488451) (← links)
• Resilient price impact of trading and the cost of illiquidity (Q2862513) (← links)
• WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS (Q2981820) (← links)
• Vague Convergence of Semimartingale Random Measures (Q3158139) (← links)
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES (Q3393970) (← links)
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process (Q3459007) (← links)
• Toward A Convergence Theory For Continuous Stochastic Securities Market Models¹ (Q4345879) (← links)
• A Nonstandard Approach to Option Pricing (Q4345916) (← links)
• On Modeling Questions In Security Valuation (Q4345921) (← links)
• Option pricing with hedging at fixed trading dates (Q4541525) (← links)
• Convergence of Jump-Diffusion Modelsto the Black–Scholes Model (Q4795544) (← links)
• Efficient option valuation using trees (Q4804518) (← links)
• (Q4895006) (← links)
• Hyperfinite construction of <i>G</i>-expectation (Q5086416) (← links)
• The Girsanov Theorem Without (So Much) Stochastic Analysis (Q5126594) (← links)
• Stability results for martingale representations: The general case (Q5240180) (← links)
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions (Q5696867) (← links)