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Search: subject:"Forward performance processes"
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Option pricing theory
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Optionspreistheorie
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Incomplete market
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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Predictable
forward
performance
processes
: infrequent evaluation and applications to human-machine interactions
Liang, Gechun
;
Strub, Moris Simon
;
Wang, Yuwei
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1248-1286
Persistent link: https://www.econbiz.de/10014370650
Saved in:
2
Construction of a class of
forward
performance
processes
in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
Saved in:
3
Forward exponential indifference valuation in an incomplete binomial model
Musiela, Marek
;
Sokolova, E.
;
Zariphopoulou-Souganidis, …
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 277-302)
.
2016
Persistent link: https://www.econbiz.de/10011800382
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