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  • Search: subject:"Robust pricing and hedging"
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Year of publication
Subject
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Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Dynamic programming 1 Dynamic programming principle 1 Dynamische Optimierung 1 Financial market 1 Finanzmarkt 1 Hedging 1 Model-independent arbitrage 1 Optimal control 1 Option pricing theory 1 Optionspreistheorie 1 Robust pricing and hedging 1 Robust statistics 1 Robustes Verfahren 1 Stochastic process 1 Stochastischer Prozess 1 Superhedging 1 lookback option 1 optimal transportation 1 pathwise inequalities 1 robust pricing and hedging 1 volatility uncertainty 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Henry-Labordere, Pierre 1 Obloj, Jan 1 Obłój, Jan 1 Spoida, Peter 1 Touzi, Nizar 1 Wiesel, Johannes 1
Institution
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HAL 1
Published in...
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Finance and stochastics 1 Working Papers / HAL 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A unified framework for robust modelling of financial markets in discrete time
Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468
Persistent link: https://www.econbiz.de/10012585981
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Maximum Maximum of Martingales given Marginals
Henry-Labordere, Pierre; Obloj, Jan; Spoida, Peter; … - HAL - 2013
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset and statically trade European call options for all possible strikes and finitely-many maturities. We present a general duality result which converts this problem...
Persistent link: https://www.econbiz.de/10010899567
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