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Option replication in discrete time with illiquidity
Matsumoto, Koichi - In: Applied mathematical finance 20 (2013) 1/2, pp. 167-190
Persistent link: https://www.econbiz.de/10009737170
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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096
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Pricing interest rate derivatives with model risk
Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010528390
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Hedging derivatives on two assets with model risk
Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10012222377