On modifications of the Bachelier model

DOI10.1007/S10436-020-00381-1zbMath1470.91262OpenAlexW3122054283MaRDI QIDQ2045094

Yanyan Li

Publication date: 11 August 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00381-1

zbMATH Keywords

Bachelier modelconditional value-at-risk based hedgingSDEs with absorptionSDEs with reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial markets (91G15)

Related Items (1)

Arbitrage problems with reflected geometric Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bachelier model with stopping time and its insurance application
• Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
• Efficient hedging: cost versus shortfall risk
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Quantile hedging
• Dynamic hedging of conditional value-at-risk
• Brownian Motion, Martingales, and Stochastic Calculus
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Financial Modelling with Jump Processes
• Bachelier and his times: a conversation with Bernard Bru

This page was built for publication: On modifications of the Bachelier model