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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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Approximate pricing of call options on the quadratic variation in Lévy models
Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016
Persistent link: https://www.econbiz.de/10011800371
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Almost surely optimal portfolios under proportional transaction costs
Feodoria, Mark-Roman; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 303-312). 2016
Persistent link: https://www.econbiz.de/10011800383