Search Results - subject:"pricing-hedging duality" - EconBiz

On entropy martingale optimal transport theory

Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10015044783

Entropy martingale optimal transport and nonlinear pricing-hedging duality

Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304

Persistent link: https://www.econbiz.de/10014253636

Superhedging prices of European and American options in a non-linear incomplete market with default

Grigorova, Miryana; Quenez, Marie-Clair; Sulem, Agnès - 2018

This paper studies the superhedging prices and the associated superhedging strategies for European and American options in a non-linear incomplete market with default. We present the seller's and the buyer's point of view. The underlying market model consists of a risk-free asset and a risky...

Persistent link: https://www.econbiz.de/10012042146

Superhedging prices of European and American options in a non-linear incomplete market with default

Grigorova, Miryana; Quenez, Marie-Clair; Sulem, Agnès - 2018

This paper studies the superhedging prices and the associated superhedging strategies for European and American options in a non-linear incomplete market with default. We present the seller's and the buyer's point of view. The underlying market model consists of a risk-free asset and a risky...

Persistent link: https://www.econbiz.de/10011957094

Pathwise superhedging on prediction sets

Bartl, Daniel; Kupper, Michael; Neufeld, Ariel - In: Finance and stochastics 24 (2020) 1, pp. 215-248

Persistent link: https://www.econbiz.de/10012253346

Pricing-hedging duality for credit default swaps and the negative basis arbitrage

Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10012153067

Duality for pathwise superhedging in continuous time

Bartl, Daniel; Kupper, Michael; Prömel, David Johannes; … - In: Finance and stochastics 23 (2019) 3, pp. 697-728

Persistent link: https://www.econbiz.de/10012023763

Robust pricing-hedging dualities in continuous time

Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 22 (2018) 3, pp. 511-567

Persistent link: https://www.econbiz.de/10011945812

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

Cox, Alexander M. G.; Hou, Zhaoxu; Obłój, Jan - In: Finance and stochastics 20 (2016) 3, pp. 669-704

Persistent link: https://www.econbiz.de/10011531314

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