Pages that link to "Item:Q4994399"
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The following pages link to Pricing and hedging derivative securities in markets with uncertain volatilities (Q4994399):
Displaying 50 items.
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- Stability of utility maximization in nonequivalent markets (Q287676) (← links)
- Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach (Q293596) (← links)
- Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions (Q320262) (← links)
- Numerical simulations for \(G\)-Brownian motion (Q335585) (← links)
- Financial markets with volatility uncertainty (Q406259) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- Efficient option risk measurement with reduced model risk (Q506084) (← links)
- Stopping times and related Itô's calculus with \(G\)-Brownian motion (Q550162) (← links)
- Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion (Q628946) (← links)
- The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts (Q654825) (← links)
- On the optimal design of insurance contracts with guarantees (Q659256) (← links)
- Local time and Tanaka formula for the \(G\)-Brownian motion (Q691837) (← links)
- The \(CEV\) model and its application to financial markets with volatility uncertainty (Q724483) (← links)
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
- A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem (Q747919) (← links)
- Adapted Wasserstein distances and stability in mathematical finance (Q784732) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- Link-save trading (Q855369) (← links)
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) (← links)
- Pricing and hedging in the presence of extraneous risks (Q885263) (← links)
- Central limit theorem under uncertain linear transformations (Q900948) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
- Computation and analysis for a constrained entropy optimization problem in finance (Q952089) (← 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)
- Pricing of derivatives on mean-reverting assets (Q1040902) (← links)
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) (← links)
- Risk-neutral valuation: Pricing and hedging of financial derivatives (Q1264183) (← links)
- Valuation of segregated funds: shout options with maturity extensions. (Q1413278) (← links)
- Analysis of the nonlinear option pricing model under variable transaction costs (Q1627683) (← 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)
- Numerical scheme for Dynkin games under model uncertainty (Q1663906) (← links)
- Partial super-hedging of derivatives with model risk (Q1684775) (← links)
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options (Q1697932) (← 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)
- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) (← links)
- Positive radial solutions to a {\` semilinear\'} equation involving the Pucci's operator (Q1880760) (← links)
- An interval of no-arbitrage prices in financial markets with volatility uncertainty (Q1992892) (← 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)
