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Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675
Persistent link: https://www.econbiz.de/10012518073
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Smart expansion and fast calibration for jump diffusions
Benhamou, E.; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-590
Persistent link: https://www.econbiz.de/10008274830
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Smart expansion and fast calibration for jump diffusions
Benhamou, Eric; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-589
Persistent link: https://www.econbiz.de/10003899530
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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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Discrete time hedging errors for options with irregular payoffs
Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10008216994