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~isPartOf:"CARF working paper"
~isPartOf:"Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Option pricing theory"
~subject:"stochastic optimal control"
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Option pricing theory
stochastic optimal control
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CARF working paper
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
Mathematical finance : an international journal of mathematics, statistics and financial theory
Applied mathematical finance
7
Risks : open access journal
7
CESifo working papers
5
International journal of theoretical and applied finance
5
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4
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LogForum : elektroniczne czasopismo naukowe z dziedziny logistyki
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P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
1
Risk and decision analysis
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SFB 649 discussion paper
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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga
;
Takahashi, Akihiko
-
2021
Persistent link: https://www.econbiz.de/10012616241
Saved in:
2
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
3
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
4
General intensity shapes in optimal liquidation
Guéant, Olivier
;
Lehalle, Charles-Albert
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
Saved in:
5
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
6
Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10001475182
Saved in:
7
Calibrating a diffusion pricing model with uncertain volatility: regularization and stability
Samperi, Dominick
- In:
Mathematical finance : an international journal of …
12
(
2002
)
1
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001686213
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8
Recent advances in backward stochastic Riccati equations and their applications
Kohlmann, Michael
;
Tang, Shanjian
-
2000
Persistent link: https://www.econbiz.de/10014378819
Saved in:
9
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging
Kohlmann, Michael
-
2000
Persistent link: https://www.econbiz.de/10014378821
Saved in:
10
(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
Persistent link: https://www.econbiz.de/10001387121
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