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Model uncertainty and the pricing of American options
Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329
Persistent link: https://www.econbiz.de/10011944370
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Option replication with transaction costs : an exact solution for the pure jump process
Neuberger, Anthony - In: Advances in futures and options research : a research annual 7 (1994), pp. 1-20
Persistent link: https://www.econbiz.de/10001193409
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The Black-Scholes paper : a personal perspective
Neuberger, Anthony - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 713-730
Persistent link: https://www.econbiz.de/10014443763
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Option prices, implied price processes, and stochastic volatility
Britten-Jones, Mark; Neuberger, Anthony - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 839-866
Persistent link: https://www.econbiz.de/10001497298
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Arbitrage pricing with incomplete markets
Britten-Jones, Mark - In: Applied mathematical finance 3 (1996) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10001217782
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How large are the benefits from using options?
Neuberger, Anthony; Hodges, Stewart D. - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 2, pp. 201-220
Persistent link: https://www.econbiz.de/10001690141
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Bounds for the utility-indifference prices of non-traded assets in incomplete markets
Hobson, David G. - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 1, pp. 33-52
Persistent link: https://www.econbiz.de/10003048352
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The Skorokhod embedding problem and model-independent bounds for option prices
Hobson, David G. - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 267-318
Persistent link: https://www.econbiz.de/10009356712
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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
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Complete models with stochastic volatility
Hobson, David G. - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10001240799