Pages that link to "Item:Q4994401"

The following pages link to Uncertain volatility and the risk-free synthesis of derivatives (Q4994401):

Displaying 50 items.

• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
• Constructing functions with prescribed pathwise quadratic variation (Q281858) (← links)
• Stability of utility maximization in nonequivalent markets (Q287676) (← links)
• Hedging with small uncertainty aversion (Q503389) (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
• Stopping times and related Itô's calculus with \(G\)-Brownian motion (Q550162) (← links)
• Local time and Tanaka formula for the \(G\)-Brownian motion (Q691837) (← links)
• Adapted Wasserstein distances and stability in mathematical finance (Q784732) (← links)
• Tractable hedging: An implementation of robust hedging strategies (Q959656) (← links)
• Numerical analysis and simulation of option pricing problems modeling illiquid markets (Q988271) (← links)
• A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
• A superhedging approach to stochastic integration (Q1630662) (← links)
• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
• Robust valuation, arbitrage ambiguity and profit \& loss analysis (Q1655920) (← links)
• Multiple-priors optimal investment in discrete time for unbounded utility function (Q1661573) (← links)
• Partial super-hedging of derivatives with model risk (Q1684775) (← links)
• A risk-neutral equilibrium leading to uncertain volatility pricing (Q1709602) (← links)
• The pricing of Asian options in uncertain volatility model (Q1719127) (← links)
• Martingale problem under nonlinear expectations (Q1744199) (← links)
• Stochastic control for a class of nonlinear kernels and applications (Q1747758) (← links)
• Duality for pathwise superhedging in continuous time (Q1999600) (← links)
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← links)
• Transport plans with domain constraints (Q2045149) (← links)
• Vulnerable options pricing under uncertain volatility model (Q2068116) (← links)
• Hedging derivatives on two assets with model risk (Q2180276) (← links)
• ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
• Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
• Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems (Q2274122) (← links)
• Stochastic integration and differential equations for typical paths (Q2274218) (← links)
• Pathwise superhedging on prediction sets (Q2282966) (← links)
• Pathwise no-arbitrage in a class of delta hedging strategies (Q2296083) (← links)
• Good deal hedging and valuation under combined uncertainty about drift and volatility (Q2296106) (← links)
• Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity (Q2300963) (← links)
• Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
• Minimal supersolutions of BSDEs under volatility uncertainty (Q2347450) (← links)
• Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes (Q2416550) (← links)
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation (Q2518615) (← links)
• Pathwise superhedging under proportional transaction costs (Q2675368) (← links)
• Robust retirement and life insurance with inflation risk and model ambiguity (Q2700072) (← links)
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity (Q2799360) (← links)
• A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA (Q2808183) (← links)
• Nonlinear Lévy processes and their characteristics (Q2826754) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• ROBUST TRADING OF IMPLIED SKEW (Q2976126) (← links)
• Uncertain Volatility Models with Stochastic Bounds (Q3122062) (← links)
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS (Q3523582) (← links)
• High-order filtered schemes for time-dependent second order HJB equations (Q4579916) (← links)
• Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation (Q5034429) (← links)