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Derivative asset analysis in models with level-dependent and stochastic volatility
Frey, Rüdiger - 1997
Persistent link: https://www.econbiz.de/10000959999
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10000993233
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Valuation of barrier options in a Black-Scholes setup with jump risk
Leisen, Dietmar - 1999
Persistent link: https://www.econbiz.de/10001355949
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Convergence of arbitrage-free discrete time Markovian market models
Leitner, Johannes - 2000
Persistent link: https://www.econbiz.de/10001450616
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael - 1999
Persistent link: https://www.econbiz.de/10001387121
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Asian exchange rate options under stochastic interest rates : pricing as a sum of delayed payment options
Aase Nielsen, Jørgen; Sandmann, Klaus - 1998
Persistent link: https://www.econbiz.de/10001387512
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Market volatility and feedback effects from dynamic hedging
Frey, Rüdiger - 1995
Persistent link: https://www.econbiz.de/10000908124
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When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel
Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999
Persistent link: https://www.econbiz.de/10001378686
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Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael; Zhou, Xun Yu - 1999
Persistent link: https://www.econbiz.de/10001381857
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001475180