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Super-replication under proportional transaction costs : from discrete to continuous-time models

Touzi, Nizar - In: Mathematical methods of operations research 50 (1999) 2, pp. 297-320

Persistent link: https://www.econbiz.de/10001428812

Statistical inference for random-variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367

Persistent link: https://www.econbiz.de/10001493867

American options exercise boundary when the volatility changes randomly

Touzi, Nizar - 1995

Persistent link: https://www.econbiz.de/10000924111

Calibration by simulation for small sample bias correction

Gouriéroux, Christian; Renault, Eric; Touzi, Nizar - 1995

Persistent link: https://www.econbiz.de/10000924119

Option pricing under transaction costs : a martingale approach

Koehl, Pierre-François; Pham, Huyên; Touzi, Nizar - 1996

Persistent link: https://www.econbiz.de/10000950709

Option hedging and implicit volatilities in a stochastic volatility model

Renault, Eric; Touzi, Nizar - 1993 - Rev

Persistent link: https://www.econbiz.de/10000874371

Statistical inference for random variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997

Persistent link: https://www.econbiz.de/10000984169

A closed-form solution to the problem of super-replication under transaction costs

Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54

Persistent link: https://www.econbiz.de/10001367451

Option hedging and implied volatilities in a stochastic volatility model

Renault, Eric - In: Mathematical finance : an international journal of … 6 (1996) 3, pp. 279-302

Persistent link: https://www.econbiz.de/10001208961

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Galichon, Alfred - 2013

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod...

Persistent link: https://www.econbiz.de/10013092542