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Functional central limit theorems for rough volatility
Horvath, Blanka Nora; Jacquier, Antoine; Muguruza, Aitor; … - In: Finance and stochastics 28 (2024) 3, pp. 615-661
Persistent link: https://www.econbiz.de/10015130353
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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
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Pricing double barrier options using Laplace transforms
Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 1, pp. 95-104
Persistent link: https://www.econbiz.de/10001487053
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Options on a traded account : vacation calls, vacation puts and passport options
Shreve, Steven E.; Večeř, Jan - In: Finance and stochastics 4 (2000) 3, pp. 255-274
Persistent link: https://www.econbiz.de/10001487062
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Robustness of the Black-Scholes approach in the case of options on several assets
Romagnoli, Silvia; Vargiolu, Tiziano - In: Finance and stochastics 4 (2000) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10001487081
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Perfect option hedging for a large trader
Frey, Rüdiger - In: Finance and stochastics 2 (1998) 2, pp. 115-141
Persistent link: https://www.econbiz.de/10001235410
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Optimal stopping for a diffusion with jumps
Mordecki, Ernesto - In: Finance and stochastics 3 (1999) 2, pp. 227-236
Persistent link: https://www.econbiz.de/10001367337
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A closed-form solution to the problem of super-replication under transaction costs
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10001367451
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Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
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Path dependent options on yields in the affine term structure model
Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10001246924