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Stochastic process
Optionspreistheorie
26
Theorie
26
Theory
26
Option pricing theory
25
Hedging
17
Portfolio selection
15
Portfolio-Management
15
Stochastischer Prozess
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Incomplete market
11
Unvollkommener Markt
11
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Derivat
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incomplete markets
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Stochastic volatility
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martingale method
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transaction costs
3
Aktienoption
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English
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Kallsen, Jan
13
Černý, Aleš
3
Denkl, Stephan
2
Hubalek, Friedrich
2
Jahncke, Giso
2
Muhle-Karbe, Johannes
2
Hudetz, Thomas
1
Krühner, Paul
1
Pauwels, Arnd Philipp
1
Sgarra, Carlo
1
Vierthauer, Richard
1
Voß, Moritz
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Christian-Albrechts-Universität zu Kiel
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Finance and stochastics
2
International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Applied mathematical finance
1
Mathematical Finance, 2008, 18(3), 473-492
1
Mathematical methods of operations research
1
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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arXiv preprint 1309.7833
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ECONIS (ZBW)
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Convergence of minimum entropy option prices for weakly converging incomplete market models
Hubalek, Friedrich
;
Hudetz, Thomas
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 559-560
Persistent link: https://www.econbiz.de/10001524384
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2
Esscher transforms and the minimal entropy matingale measure for exponential Lévy models
Hubalek, Friedrich
(
contributor
);
Sgarra, Carlo
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003221218
Saved in:
3
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
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4
The cumulant process and Esscherś change of measure
Kallsen, Jan
;
Širjaev, Alʹbert N.
- In:
Finance and stochastics
6
(
2002
)
4
,
pp. 397-428
Persistent link: https://www.econbiz.de/10001702776
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5
Variance-optimal hedging for time-changed Lévy processes
Kallsen, Jan
;
Pauwels, Arnd Philipp
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009154430
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6
Pricing options on variance in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Voß, Moritz
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 627-641
Persistent link: https://www.econbiz.de/10009311683
Saved in:
7
Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Denkl, Stephan
-
2013
Persistent link: https://www.econbiz.de/10010200946
Saved in:
8
Hedging in affine stochastic volatility models
Vierthauer, Richard
-
2010
Persistent link: https://www.econbiz.de/10008779220
Saved in:
9
Utility maximization in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
Saved in:
10
Mean-variance hedging and optimal investment in Heston's model with correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
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