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International journal of theoretical and applied finance
NBER working paper series
206
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ECONIS (ZBW)
42
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1
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
2
Pricing index options by static hedging under finite liquidity
Armstrong, John
;
Pennanen, Teemu
;
Rakwongwan, Udomsak
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
Saved in:
3
Good deal bounds with convex constraints
Arai, Takuji
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011686844
Saved in:
4
Strong bubbles and strict local martingales
Herdegen, Martin
;
Schweizer, Martin
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011523876
Saved in:
5
Pricing and valuation under the real-world measure
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011453878
Saved in:
6
A note on utility indifference pricing
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
Saved in:
7
Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique
;
Leniec, Marta
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
Saved in:
8
Approximate hedging of options under jump-diffusion processes
Mina, Karl Friedrich
;
Cheang, Gerald H. L.
;
Chiarella, Carl
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
Saved in:
9
Priority option : the value of being a leader
Grasselli, M. R.
;
Leclère, Vincent
;
Ludkovski, M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009725087
Saved in:
10
Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor
;
Itkin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
Saved in:
11
Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz
;
Uzunashvili, T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
Saved in:
12
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
13
The minimal k-entropy martingale measure
Trivellato, Barbara
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
Saved in:
14
Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009685882
Saved in:
15
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
16
Valuation of compound option when the underlying asset is non-tradable
Liu, Yu-hong
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 441-458
Persistent link: https://www.econbiz.de/10008904358
Saved in:
17
A random cluster process approach to collective market dynamics with local interactions
Cai, Haiyan
;
Chen, Kang
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 251-266
Persistent link: https://www.econbiz.de/10003855785
Saved in:
18
Scenarios for price determination in incomplete markets
Xanthopoulos, S. Z.
;
Yannacopoulos, Athanasios N.
- In:
International journal of theoretical and applied finance
11
(
2008
)
5
,
pp. 415-445
Persistent link: https://www.econbiz.de/10003759930
Saved in:
19
An approximate approach to the exponential utility indifference
Arai, Takuji
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
Saved in:
20
Equilibrium with excessive holdings constraint : an application to DC pension plans
Soumaré, Issouf
- In:
International journal of theoretical and applied finance
10
(
2007
)
7
,
pp. 1159-1190
Persistent link: https://www.econbiz.de/10003632061
Saved in:
21
Quadratic hedging for the Bates model
Hubalek, Friedrich
;
Sgarra, Carlo
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
Saved in:
22
Cross hedging within a log mean reverting model
Njoh, Samuel
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 887-914
Persistent link: https://www.econbiz.de/10003564685
Saved in:
23
The opinion game : stock price evolution from microscopic market modeling
Bovier, Anton
;
C̆erný, Jir̆í
;
Hryniv, Ostap
- In:
International journal of theoretical and applied finance
9
(
2006
)
1
,
pp. 91-111
Persistent link: https://www.econbiz.de/10003285942
Saved in:
24
Information, model performance, pricing and trading measures in incomplete markets
Huang, Jinggang
;
Sandow, Sven
;
Friedman, Craig
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 373-400
Persistent link: https://www.econbiz.de/10003344314
Saved in:
25
A note on irreversible investment, hedging and optimal consumption problems
Henderson, Vicky
;
Hobson, David G.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 997-1007
Persistent link: https://www.econbiz.de/10003380323
Saved in:
26
Pricing options from the point of view of a trader
Stoikov, Sasha F.
- In:
International journal of theoretical and applied finance
9
(
2006
)
8
,
pp. 1245-1266
Persistent link: https://www.econbiz.de/10003397174
Saved in:
27
Some remarks on mean-variance hedging for discontinuous asset price processes
Arai, Takuji
- In:
International journal of theoretical and applied finance
8
(
2005
)
4
,
pp. 425-443
Persistent link: https://www.econbiz.de/10002980637
Saved in:
28
Partial equilibrium and market completion
Hu, Ying
;
Imkeller, Peter
;
Müller, Matthias
- In:
International journal of theoretical and applied finance
8
(
2005
)
4
,
pp. 483-508
Persistent link: https://www.econbiz.de/10002980772
Saved in:
29
Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market
Ewald, Christian-Oliver
- In:
International journal of theoretical and applied finance
8
(
2005
)
3
,
pp. 301-319
Persistent link: https://www.econbiz.de/10002893241
Saved in:
30
Distribution-based option pricing on lattice asset dynamics models
Yamada, Yuji
;
Primbs, James A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
6
,
pp. 599-618
Persistent link: https://www.econbiz.de/10001743192
Saved in:
31
Incomplete markets and short-sales constraints : an equilibrium approach
Bizid, Abdelhamid
;
Jouini, Elyès
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 211-243
Persistent link: https://www.econbiz.de/10001578685
Saved in:
32
Asymmetrical information and incomplete markets
Grorud, Axel
;
Pontier, Monique
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10001578728
Saved in:
33
Option pricing for incomplete markets via stochastic optimization : transaction costs, adaptive control and forecast
Fedotov, Sergei
;
Mikhailov, Sergei
- In:
International journal of theoretical and applied finance
4
(
2001
)
1
,
pp. 179-195
Persistent link: https://www.econbiz.de/10001554259
Saved in:
34
Replication of American contingent claims in incomplete markets
Yong, Jiongmin
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 439-466
Persistent link: https://www.econbiz.de/10001584362
Saved in:
35
On the consistency of the deterministic local volatility function model ("implied tree")
Strobl, Karl
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 545-565
Persistent link: https://www.econbiz.de/10001584372
Saved in:
36
A general methodology to price and hedge derivatives in incomplete markets
Aurell, Erik
(
contributor
)
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001488345
Saved in:
37
Convergence of minimum entropy option prices for weakly converging incomplete market models
Hubalek, Friedrich
;
Hudetz, Thomas
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 559-560
Persistent link: https://www.econbiz.de/10001524384
Saved in:
38
Information and entropy in incomplete markets
Tabakis, Evangelos
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 561
Persistent link: https://www.econbiz.de/10001524389
Saved in:
39
Trader dynamics in a model market
Johnson, Neil F.
(
contributor
)
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 443-450
Persistent link: https://www.econbiz.de/10001522918
Saved in:
40
Financial friction and multiplicative Markov market games
Aurell, Erik
;
Muratore-Ginanneschi, Paolo
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 501-510
Persistent link: https://www.econbiz.de/10001523035
Saved in:
41
An explicit formula for option pricing in discrete incomplete markets
Wolczyńska, Grażyna
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 283-288
Persistent link: https://www.econbiz.de/10001240153
Saved in:
42
On minimizing risk in incomplete markets option pricing models
Hammarlid, Ola
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 227-233
Persistent link: https://www.econbiz.de/10001240157
Saved in:
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