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Superreplication under model uncertainty in discrete time
Nutz, Marcel - In: Finance and stochastics 18 (2014) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10010416246
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Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel; Wiesel, Johannes; Zhao, Long - In: Finance and stochastics 27 (2023) 1, pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
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Consistent price systems under model uncertainty
Bouchard, Bruno; Nutz, Marcel - In: Finance and stochastics 20 (2016) 1, pp. 83-98
Persistent link: https://www.econbiz.de/10011459977
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Bounds for VIX futures given S&P 500 smiles
Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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On the Guyon-Lekeufack volatility model
Nutz, Marcel; Riveros Valdevenito, Andrés - In: Finance and stochastics 28 (2024) 4, pp. 1203-1223
Persistent link: https://www.econbiz.de/10015130570