Multiasset Derivatives and Joint Distributions of Asset Prices
From MaRDI portal
Publication:4561945
DOI10.1007/978-3-319-02069-3_20zbMath1418.91528OpenAlexW126687069MaRDI QIDQ4561945
Michael Schmutz, Ilya S. Molchanov
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_20
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the calibration of local jump-diffusion asset price models
- Multivariate dispersion, central regions and depth. The lift zonoid approach
- On the duality principle in option pricing: semimartingale setting
- Markets with transaction costs. Mathematical theory.
- Convex geometry of max-stable distributions
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Lift zonoids, random convex hulls and the variability of random vectors
- Pricing contingent claims on stocks driven by Lévy processes
- A general version of the fundamental theorem of asset pricing
- The minimal entropy martingale measures for geometric Lévy processes
- The role of Hellinger processes in mathematical finance
- Maxima of normal random vectors: Between independence and complete dependence
- The variance-optimal martingale measure for continuous processes
- Minimal entropy preserves the Lévy property: how and why
- Static arbitrage bounds on basket option prices
- The mathematics of arbitrage
- Option prices as probabilities. A new look at generalized Black-Scholes formulae
- Pricing Via Utility Maximization and Entropy
- Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
- Change of Time and Change of Measure
- MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS
- Semi-static hedging for certain Margrabe-type options with barriers
- Exchangeability-type properties of asset prices
- Hedging in Financial Markets
- Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
- Multivariate Extension of Put-Call Symmetry
- PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
- Options and Efficiency
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Financial Modelling with Jump Processes
- Theory of Random Sets
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Stochastic finance. An introduction in discrete time
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
