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Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy Market
Yip, Wing Yan; Stephens, David; Olhede, Sofia - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 617-646
Persistent link: https://www.econbiz.de/10008666962
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Modeling liquidity effects in discrete time
Çetin, Umut; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-29
Persistent link: https://www.econbiz.de/10003543099
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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Power utility maximization in constrained exponential Lévy models
Nutz, Marcel - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 690-709
Persistent link: https://www.econbiz.de/10009614940
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Nonreplication of options
Kountzakis, Christos; Polyrakis, Ioannis A.; Xanthos, Foivos - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 569-584
Persistent link: https://www.econbiz.de/10009613179
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Risk minimization with incomplete information in a model for high-frequency data
Frey, Rüdiger - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 215-225
Persistent link: https://www.econbiz.de/10002177564
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Pricing via utility maximization and entropy
Rouge, Richard; El Karoui, Nicole - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 259-276
Persistent link: https://www.econbiz.de/10002177670
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A martingale characterization of consumption choices and hedging costs with margin requirements
Cuoco, Domenico; Hong, Lu - In: Mathematical finance : an international journal of … 10 (2000) 3, pp. 355-385
Persistent link: https://www.econbiz.de/10002177966
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Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244
Persistent link: https://www.econbiz.de/10002725425