Pages that link to "Item:Q5890187"
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The following pages link to The minimal entropy martingale measure and the valuation problem in incomplete markets (Q5890187):
Displaying 50 items.
- Tail risk constraints and maximum entropy (Q296373) (← links)
- The mean correcting martingale measures for exponential additive processes (Q320605) (← links)
- Option pricing under jump-diffusion processes with regime switching (Q340129) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (Q373548) (← links)
- Minimal martingale measure: pricing and hedging in a pure jump model under restricted information (Q424343) (← links)
- Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- Optimal martingale measures for defaultable assets (Q436296) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- Multi-population mortality models: a factor copula approach (Q492648) (← links)
- The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds (Q495460) (← links)
- On utility maximization in discrete-time financial market models (Q558678) (← links)
- Indifference valuation in incomplete binomial models (Q613732) (← links)
- Pricing longevity risk with the parametric bootstrap: a maximum entropy approach (Q661233) (← links)
- On the robustness of longevity risk pricing (Q661262) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- Exponential utility maximization under model uncertainty for unbounded endowments (Q670752) (← links)
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures (Q723951) (← links)
- Existence and uniqueness of martingale solutions to option pricing equations with noise (Q831331) (← links)
- Comparison of option prices in semimartingale models (Q854274) (← links)
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
- Martingale measures in the market with restricted information (Q868406) (← links)
- How non-arbitrage, viability and numéraire portfolio are related (Q889619) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- What does the market price of risk tell us in the single factor interest rate model? (Q955853) (← links)
- Dynamic asset pricing theory with uncertain time-horizon (Q956467) (← links)
- Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure (Q1016619) (← links)
- A dual characterization of self-generation and exponential forward performances (Q1049561) (← links)
- Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) (← links)
- A Lévy-driven rainfall model with applications to futures pricing (Q1621995) (← links)
- Equal risk pricing under convex trading constraints (Q1655628) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- On the super replication price of unbounded claims (Q1769420) (← links)
- An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate (Q1782016) (← links)
- Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds (Q1987428) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Martingale Schrödinger bridges and optimal semistatic portfolios (Q2111249) (← links)
- A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) (← links)
- Trading with small nonlinear price impact (Q2192738) (← links)
- The minimal entropy martingale measure in a market of traded financial and actuarial risks (Q2255722) (← links)
- Backward stochastic partial differential equations related to utility maximization and hedging (Q2255961) (← links)
- Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941) (← links)
- A note on utility-based pricing (Q2351402) (← links)
- Catastrophe risk bonds with applications to earthquakes (Q2356239) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
