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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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Robust utility maximization with Lévy processes
Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
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An autoregressive conditional binominal option pricing model
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 353-373). 2002
Persistent link: https://www.econbiz.de/10001679460
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Option pricing with discrete rebalancing
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - In: Journal of empirical finance 11 (2004) 1, pp. 133-161
Persistent link: https://www.econbiz.de/10001881022
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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