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Contingent claims valued and hedged by pricing and investing in a basis

Milne, Frank; Madan, Dilip - 2008

Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and...

Persistent link: https://www.econbiz.de/10010290451

Generalized BN-S stochastic volatility model for option pricing

SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23

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Super-replication in fully incomplete markets

Dolinsky, Yan; Neufeld, Ariel - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 483-515

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Option pricing in an incomplete market

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The [beta]-variance gamma model

Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282

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CDO term structure modelling with Lévy processes and the relation to market models

Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19

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Robust option pricing with characteristic functions and the B-spline order of density projection

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Robust barrier option pricing by frame projection under exponential Lévy dynamics

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Computing Greeks for Lévy models : the fourier transform approach

Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016

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Optimal timing of investments modeled as perpetual American options in a Levy market

Adinya, Ini; Ekhaguere, G. O. S. - In: International journal of financial engineering 9 (2022) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10013188768