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On the lower arbitrage bound of American contingent claims

Acciaio, Beatrice; Svindland, Gregor - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 147-155

Persistent link: https://www.econbiz.de/10010256177

On the Lower Arbitrage Bound of American Contingent Claims

Acciaio, Beatrice - 2011

We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure

Persistent link: https://www.econbiz.de/10013124629

Short note on inf-convolution preserving the Fatou property

Acciaio, Beatrice - In: Annals of finance 5 (2009) 2, pp. 281-287

Persistent link: https://www.econbiz.de/10003813202

Optimal risk sharing with non-monotone monetary functionals

Acciaio, Beatrice - In: Finance and stochastics 11 (2007) 2, pp. 267-289

Persistent link: https://www.econbiz.de/10003439763

Dilatation monotonicity and convex order

Svindland, Gregor - In: Mathematics and financial economics 8 (2014) 3, pp. 241-247

Persistent link: https://www.econbiz.de/10010365590

Continuity properties of law-invariant (quasi-)convex risk functions on L∞

Svindland, Gregor - In: Mathematics and financial economics 3 (2010) 1, pp. 39-43

Persistent link: https://www.econbiz.de/10003978412

Dynamic risk measures

Acciaio, Beatrice; Penner, Irina - In: Advanced mathematical methods for finance, (pp. 1-34). 2011

Persistent link: https://www.econbiz.de/10008991346

Risk assessment for uncertain cash flows : model ambiguity, discounting ambiguity, and the role of bubbles

Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - In: Finance and stochastics 16 (2012) 4, pp. 669-709

Persistent link: https://www.econbiz.de/10009623537

Optimal portfolio selection via conditional convex risk measures on L P

Acciaio, Beatrice; Goldammer, Verena - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10009729079

Modelling the default risk in large credit portfolios

Acciaio, Beatrice; Herzel, Stefano - In: International journal of risk assessment and management … 14 (2010) 6, pp. 479-503

Persistent link: https://www.econbiz.de/10008821816