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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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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - In: Finance and stochastics 9 (2005) 2, pp. 197-209
Persistent link: https://www.econbiz.de/10002747154
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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Incomepleteness of markets driven by a mixed diffusion
Bellamy, N.; Jeanblanc, Monique - In: Finance and stochastics 4 (2000) 2, pp. 209-222
Persistent link: https://www.econbiz.de/10001487034
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Functional convergence of Snell envelopes : application to American options approximations
Mulinacci, Sabrina - In: Finance and stochastics 2 (1998) 3, pp. 311-327
Persistent link: https://www.econbiz.de/10001243268
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Option pricing with transaction costs and a nonlinear Black-Scholes equation
Barles, Guy - In: Finance and stochastics 2 (1998) 4, pp. 369-397
Persistent link: https://www.econbiz.de/10001247135
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Discrete time hedging errors for options with irregular payoffs
Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-367
Persistent link: https://www.econbiz.de/10001599284
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Black and scholes pricing and markets with transaction costs : an example
Reisman, Haim - In: Finance and stochastics 5 (2001) 4, pp. 549-555
Persistent link: https://www.econbiz.de/10001614617
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A model of financial market with several interacting assets : complete market case
Albeverio, Sergio; Steblovskaya, Victoria - In: Finance and stochastics 6 (2002) 3, pp. 383-396
Persistent link: https://www.econbiz.de/10001680687