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Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

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Pricing basket weather derivatives on rainfall and temperature processes

Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies : open … 7 (2019) 3/35, pp. 1-14

This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indifference prices for the seller and buyer of a...

Persistent link: https://www.econbiz.de/10012039713

A unified framework for robust modelling of financial markets in discrete time

Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468

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A stochastic control approach to bid-ask price modelling

Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30

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Nonlinear-differential evolution equation arising in option pricing when including transaction costs : a viscosity solution approach

Averbuj, Corina G. - In: Revista brasileira de economia de empresas : … 12 (2012) 1, pp. 81-90

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Finite difference methods for the non-linear Black-Scholes-Barenblatt equation

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Utility maximization in an illiquid market in continuous time

Soner, Halil Mete; Vukelja, Mirjana - In: Mathematical methods of operations research 84 (2016) 2, pp. 285-321

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Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies

Lepinette, E.; Tran, T. Q. - In: Mathematics and financial economics 14 (2020) 3, pp. 399-431

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Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing

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Does implied volatility pricing follow the tenets of prospect theory?

Desmoulins-Lebeault, François; Meunier, Luc; Ohadi, Sima - In: The journal of behavioral finance : a publication of … 21 (2020) 2, pp. 157-173

Persistent link: https://www.econbiz.de/10012287185