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  • Search: subject:"Superreplication"
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Year of publication
Subject
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Super-replication 29 super-replication 15 Option pricing theory 14 Optionspreistheorie 14 Superreplication 14 Kapitalbedarf 13 Hedging 10 Theorie 10 Theory 10 Portfolio selection 9 Portfolio-Management 9 Bank 8 CAPM 8 Incomplete market 8 Martingal 8 Martingale 8 Unvollkommener Markt 8 Stochastic process 7 Stochastischer Prozess 7 Transaction costs 7 viscosity solutions 6 Arbitrage 5 Option trading 5 Optionsgeschäft 5 Transaktionskosten 5 Utility maximization 5 stochastic volatility 5 superreplication 5 Proportional transaction costs 4 Super-replication theorem 4 Superreplication price 4 portfolio constraints 4 BSDEs 3 Basket options 3 Börsenkurs 3 Convergence 3 Efficient friction 3 Foreign exchange markets 3 Hamilton-Jacobi-Bellman equations 3 Martingale measure 3
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Online availability
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Undetermined 38 Free 21
Type of publication
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Article 57 Book / Working Paper 21
Type of publication (narrower categories)
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Article in journal 25 Aufsatz in Zeitschrift 25 Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1
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Language
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English 49 Undetermined 29
Author
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Dolinsky, Yan 6 Carassus, Laurence 5 Schachermayer, Walter 5 Touzi, Nizar 5 Bentahar, Imen 3 Bouchard, Bruno 3 Campi, Luciano 3 Chassagneux, Jean-François 3 Elie, Romuald 3 Kharroubi, Idris 3 Rásonyi, Miklós 3 Soner, H. Mete 3 Tsuzuki, Yukihiro 3 Vargiolu, Tiziano 3 Altman, Edward I. 2 Bank, Peter 2 Beiglböck, Mathias 2 Brady, Brooks 2 Consiglio, Andrea 2 Garivaltis, Alex 2 Gozzi, Fausto 2 Henry-Labordère, Pierre 2 Laurence, Peter 2 Neufeld, Ariel 2 Nutz, Marcel 2 Penkner, Friedrich 2 Resti, Andrea 2 Sironi, Andrea 2 Soner, H. 2 Soner, Halil Mete 2 Su, Xia 2 Wang, Tai-Ho 2 Zenios, Stauros Andrea 2 Acciaio, B. 1 Beiglböck, M. 1 Burgard, Christoph 1 Carr, Peter 1 Cetin, Umut 1 Chateauneuf, Alain 1 Cheridito, Patrick 1
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Institution
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London School of Economics and Political Science 5 Université Paris-Dauphine (Paris IX) 4 Université Paris-Dauphine 2 Bank of England <London> 1 Bank von Japan 1 Faculdade de Economia, Universidade Nova de Lisboa 1 Federal Home Loan Mortgage Corporation <McLean, Va.> 1 Goldman, Sachs & Co. <New York, NY> 1 Great Britain / Department for Business, Enterprise and Regulatory Reform 1 HAL 1 Institut für Versicherungswirtschaft <Sankt Gallen> 1 London School of Economics (LSE) 1 New York Clearinghouse Association 1 Pennsylvania State University <University Park, Pa.> / Department of Statistics 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 1 Tokio / Tokio-Universität 1 UBS AG <Zürich 1 United States / Board of Governors of the Federal Reserve System 1 University of Bonn, Germany 1 Universität <München> / Fakultät für Betriebswirtschaft 1
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Published in...
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Finance and Stochastics 14 Finance and stochastics 9 London School of Economics and Political Science - Publications 6 International journal of theoretical and applied finance 4 Economics Papers from University Paris Dauphine 3 Bonn Econ Discussion Papers 2 Computational Statistics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Mathematical Methods of Operations Research 2 Mathematics and financial economics 2 Open Access publications from Université Paris-Dauphine 2 SFB 649 Discussion Paper 2 Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program 2 Annals of Finance 1 Applied Mathematical Finance 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Department for Business, Enterprise and Regulatory Reform - Globally Competitive Business Environment - 2003 to 2008 Reports 1 ETH - Department of Mathematics - Prof. Dr. Freddy Delbaen - Selected papers and Prprints 1 Economic theory 1 Economics Thesis from University Paris Dauphine 1 European Bankingin the 1990s 1 FEUNL Working Paper Series 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998, 131-136 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998, 15-22 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998, 171-182 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998, 201-211 1 FRBNY ECONOMIC POLICY REVIEW / OCTOBER 1998. 33-43 1 FRBNY Economic Policy Review / May 2002, pp 259 - 265 1 Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers 1 International journal of financial engineering 1 Journal of economic dynamics & control 1 Journal of mathematical economics 1 LSE Research Online Documents on Economics 1 Ludwig-Maximilians-Universität München - Fakultät für Betriebswirtschaft 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Quantitative Finance 1 Quantitative finance 1 Research paper series / Swiss Finance Institute 1
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Source
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RePEc 35 ECONIS (ZBW) 27 USB Cologne (business full texts) 13 EconStor 3
Showing 1 - 10 of 78
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Quasi-sure essential supremum and applications to finance
Carassus, Laurence - In: Finance and stochastics 29 (2025) 1, pp. 219-260
Persistent link: https://www.econbiz.de/10015394784
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Submodular financial markets with frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory 73 (2022) 2/3, pp. 721-744
Persistent link: https://www.econbiz.de/10013277391
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No free lunch for markets with multiple numéraires
Carassus, Laurence - In: Journal of mathematical economics 104 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014231303
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent economics & finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012023352
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012657487
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On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 25 (2021) 1, pp. 167-187
Persistent link: https://www.econbiz.de/10012433525
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Robust statistical arbitrage strategies
Lütkebohmert, Eva; Sester, Julian - In: Quantitative finance 21 (2021) 3, pp. 379-402
Persistent link: https://www.econbiz.de/10012483829
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Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea; Zenios, Stauros Andrea - 2018
Persistent link: https://www.econbiz.de/10011884964
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Asymptotic asset pricing and bubbles
Roch, Alexandre - In: Mathematics and financial economics 12 (2018) 2, pp. 275-304
Persistent link: https://www.econbiz.de/10011963853
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Super-replication in fully incomplete markets
Dolinsky, Yan; Neufeld, Ariel - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 483-515
Persistent link: https://www.econbiz.de/10011969096
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