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On the performance of delta hedging strategies in exponential Lvy models
DENKL, STEPHAN; GOY, MARTINA; KALLSEN, JAN; … - In: Quantitative finance 13 (2013) 8, pp. 1173-1184
Persistent link: https://www.econbiz.de/10010148514
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010183831
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Asymptotic and exact pricing of options on variance
Keller-Ressel, Martin; Muhle-Karbe, Johannes - In: Finance and stochastics 17 (2012) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10010057621
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Existence of shadow prices in finite probability spaces
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical methods of operations research 73 (2011) 2, pp. 251-263
Persistent link: https://www.econbiz.de/10008885414