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Derivative pricing based on local utility maximization
Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115-140
Persistent link: https://www.econbiz.de/10001643758
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Pricing derivatives of American and game type in incomplete markets
Kallsen, Jan; Kühn, Christoph - In: Finance and stochastics 8 (2004) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10008214883
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The cumulant process and Esscher's change of measure
Kallsen, Jan; Shiryaev, Albert N. - In: Finance and stochastics 6 (2002) 4, pp. 397-428
Persistent link: https://www.econbiz.de/10008216168
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Derivative pricing based on local utility maximization
Kallsen, Jan - In: Finance and stochastics 6 (2002) 1, pp. 115
Persistent link: https://www.econbiz.de/10008216496
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010183831
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The cumulant process and Esscherś change of measure
Kallsen, Jan; Širjaev, Alʹbert N. - In: Finance and stochastics 6 (2002) 4, pp. 397-428
Persistent link: https://www.econbiz.de/10001702776
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Pricing derivatives of American and game type in incomplete markets
Kallsen, Jan; Kühn, Christoph - In: Finance and stochastics 8 (2004) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10002012597
Cover Image
On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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On a Heath-Jarrow-Morton approach for stock options
Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615
Persistent link: https://www.econbiz.de/10011418308