Narrow search
Showing 1 - 10 of 245
Cover Image
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
Cover Image
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
Cover Image
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
Glau, Kathrin - In: Finance and stochastics 20 (2016) 4, pp. 1021-1059
Persistent link: https://www.econbiz.de/10011570348
Cover Image
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
Cover Image
The Jacobi stochastic volatility model
Ackerer, Damien; Filipović, Damir; Pulido, Sergio - In: Finance and stochastics 22 (2018) 3, pp. 667-700
Persistent link: https://www.econbiz.de/10011945894
Cover Image
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - In: Finance and stochastics 25 (2021) 4, pp. 615-657
Persistent link: https://www.econbiz.de/10012665197
Cover Image
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
Cover Image
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
Cover Image
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
Cover Image
Irreversible investment problems
Øksendal, Anders - In: Finance and stochastics 4 (2000) 2, pp. 223-250
Persistent link: https://www.econbiz.de/10001487038