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Optimal hedging with basis risk

Davis, Mark H. A. - In: From stochastic calculus to mathematical finance : the …, (pp. 169-187). 2006

Persistent link: https://www.econbiz.de/10003287153

Model-free methods in valuation and hedging of derivative securities

Davis, Mark H. A. - In: The handbook of post crisis financial modelling, (pp. 168-189). 2016

Persistent link: https://www.econbiz.de/10011475750

The range of traded option prices

Davis, Mark H. A.; Hobson, David G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10003543093

A note on utility-based pricing in models with transaction costs

Davis, Mark H. A.; Yoshikawa, Daisuke - In: Mathematics and financial economics 9 (2015) 3, pp. 231-245

Persistent link: https://www.econbiz.de/10011350249

A note on utility-based pricing

Davis, Mark H. A.; Yoshikawa, Daisuke - In: Mathematics and financial economics 9 (2015) 3, pp. 215-230

Persistent link: https://www.econbiz.de/10011350250

A Note on Utility-Based Pricing in Models with Transaction Costs

Davis, Mark H. A. - 2015

In this paper, we consider the utility indifference pricing and utility-based pricing in the market with transaction costs. The utility maximization problem including contingent claims in the market with transaction costs has been considered by Bouchard (2002). Following his results, we consider...

Persistent link: https://www.econbiz.de/10013037020