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~subject:"Option pricing theory"
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Option pricing theory
Theorie
38
Theory
38
Optionspreistheorie
15
Portfolio selection
15
Portfolio-Management
15
Transaction costs
13
Transaktionskosten
11
Unvollkommener Markt
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Hedging
9
Incomplete market
9
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9
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8
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Arbitrage pricing
6
Arbitrage
5
Capital-Asset-Pricing-Modell
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Portfoliomanagement
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portfolio management
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risk measures
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Finanzmathematik
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Mathematical programming
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Mathematische Optimierung
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Proportional transaction costs
4
Risk
4
Stochastic process
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Stochastischer Prozess
4
Super-replication theorem
4
Arbitrage-Pricing-Theorie
3
Black-Scholes model
3
Black-Scholes-Modell
3
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3
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3
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3
Markowitz problem
3
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9
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English
14
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Schachermayer, Walter
13
Delbaen, Freddy
2
Hubalek, Friedrich
2
Kreps, David M.
2
Czichowsky, Christoph
1
Davis, Mark
1
Duffie, D.
1
Duffie, Darrell
1
Filipovic, D.
1
Filipović, Damir
1
Hugonnier, Julien
1
Kramkov, Dmitry
1
Schachermayer, W.
1
Sîrbu, Mihai
1
Taflin, Erik
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Teichmann, Josef
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Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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Finance and stochastics
1
International journal of theoretical and applied finance
1
Mathematics and financial economics
1
NBER technical working paper series
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Real options
1
Stanford University Graduate School of Business research paper
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ECONIS (ZBW)
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Shadow prices for continuous processes
Czichowsky, Christoph
;
Schachermayer, Walter
;
Yang, Junjian
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 623-658
Persistent link: https://www.econbiz.de/10011764961
Saved in:
2
The super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter
- In:
Mathematics and financial economics
8
(
2014
)
4
,
pp. 383-398
Persistent link: https://www.econbiz.de/10010490973
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3
When does convergence of asset price processes imply convergence of option prices?
Hubalek, Friedrich
- In:
Mathematical finance : an international journal of …
8
(
1998
)
4
,
pp. 385-403
Persistent link: https://www.econbiz.de/10001252755
Saved in:
4
Affine processes and applications in finance
Duffie, Darrell
;
Filipović, Damir
;
Schachermayer, Walter
-
2002
Persistent link: https://www.econbiz.de/10001704101
Saved in:
5
The mathematics of arbitrage
Delbaen, Freddy
;
Schachermayer, Walter
-
2006
Persistent link: https://www.econbiz.de/10002123958
Saved in:
6
The evaluation of venture capital as an instalment option: valuing real options using real options
Davis, Mark
;
Schachermayer, Walter
;
Tompkins, Robert G.
- In:
Real options
,
(pp. 77-96)
.
2004
Persistent link: https://www.econbiz.de/10002385610
Saved in:
7
On utility-based pricing of contingent claims in incomplete markets
Hugonnier, Julien
;
Kramkov, Dmitry
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 203-212
Persistent link: https://www.econbiz.de/10002725392
Saved in:
8
The mathematics of arbitrage
Delbaen, Freddy
;
Schachermayer, Walter
-
2008
-
Corrected 2. printing
Persistent link: https://www.econbiz.de/10003896513
Saved in:
9
The limitations of no-arbitrage arguments for real options
Hubalek, Friedrich
;
Schachermayer, Walter
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 361-373
Persistent link: https://www.econbiz.de/10001578753
Saved in:
10
In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter
;
Sîrbu, Mihai
;
Taflin, Erik
- In:
Finance and stochastics
13
(
2009
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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