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Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
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Comparison of option prices in seminartingale models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10003334918
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Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo; Severino, Federico - In: Finance and stochastics 22 (2018) 4, pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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Market completion with derivative securities
Schwarz, Daniel C. - In: Finance and stochastics 21 (2017) 1, pp. 263-284
Persistent link: https://www.econbiz.de/10011944367
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No-arbitrage under a class of honest times
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
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Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; … - In: Finance and stochastics 24 (2020) 2, pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
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Filtration shrinkage, the structure of deflators, and failure of market completeness
Kardaras, Constantinos; Ruf, Johannes - In: Finance and stochastics 24 (2020) 4, pp. 871-901
Persistent link: https://www.econbiz.de/10012518123