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Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

Modeling financial bubbles with optional semimartingales in nonstandard probability spaces

Abdelghani, Mohamed; Melnikov, Alexander - 2025

-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to … a strict local martingale. This paper explores price bubbles using the framework of optional semimartingale calculus …

Persistent link: https://www.econbiz.de/10015358908

Optimal ordering policy for a price-setting newsvendor with option contracts under demand uncertainty

Wang, Chong; Chen, Xu - In: International journal of production research 53 (2015) 20, pp. 6279-6293

Persistent link: https://www.econbiz.de/10011422069

Optimal stopping and utility in a simple modelof unemployment insurance

Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41

Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...

Persistent link: https://www.econbiz.de/10012126434

Pricing European options and risk measurement under exponential Lévy models : a practical guide

Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36

Persistent link: https://www.econbiz.de/10011777826

Robust hedging with proportional transaction costs

Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347

Persistent link: https://www.econbiz.de/10010340734

Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates

Ghorbani, Niloofar; Korzeniowski, Andrzej - In: Inventi impact: microfinance & banking (2021) 2, pp. 83-90

Persistent link: https://www.econbiz.de/10012816013

Speeding up the Euler scheme for killed diffusions

Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707

Persistent link: https://www.econbiz.de/10015130359

An optional semimartingales approach to risk theory

Shahrokhabadi, Mahdieh Aminian; Melnikov, Alexander; … - In: Risks : open access journal 13 (2025) 4, pp. 1-27

, accounting for inflation, interest rates, and claim occurrences. The first model extends the martingale approach to calculate …

Persistent link: https://www.econbiz.de/10015408385