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Dynamic no-good-deal pricing measures and extension theorems for linear operators on L∞
Bion-Nadal, Jocelyne; Di Nunno, Giulia - In: Finance and stochastics 17 (2013) 3, pp. 587-613
Persistent link: https://www.econbiz.de/10009756018
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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Optimal time to invest when the price processes are geometric Brownian motions
Hu, Yaozhong - In: Finance and stochastics 2 (1998) 3, pp. 295-310
Persistent link: https://www.econbiz.de/10001243269
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Optimal time to invest when the price processes are geometric Brownian motions
Hu, Yaozhong; Øksendal, Bernt - In: Finance and stochastics 2 (1998) 3, pp. 295-310
Persistent link: https://www.econbiz.de/10008218810
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Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 3, pp. 275-303
Persistent link: https://www.econbiz.de/10001599263
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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Finance and stochastics 5 (2001) 4, pp. 447-467
Persistent link: https://www.econbiz.de/10001614597
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A semilinear Black and Scholes partial differential equation for valuing American options
Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298
Persistent link: https://www.econbiz.de/10001771698
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-576
Persistent link: https://www.econbiz.de/10008214149
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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10008216793
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Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 3, pp. 275-304
Persistent link: https://www.econbiz.de/10008216998