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ECONIS (ZBW)
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1
Hedging of time discrete auto-regressive stochastic volatility options
Badescu, Alexandru
;
Castillo, Joan del
;
Ortega, Juan-Pablo
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 271-306
Persistent link: https://www.econbiz.de/10011592752
Saved in:
2
Deep Quadratic Hedging
Gnoatto, Alessandro
;
Lavagnini, Silvia
;
Picarelli, Athena
-
2022
Persistent link: https://www.econbiz.de/10013535748
Saved in:
3
Analytical comparisons of option prices in stochastic volatility models
Henderson, Vicky
-
2002
Persistent link: https://www.econbiz.de/10009581661
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4
Risk-minimization for life insurance liabilities with dependent mortality risk
Biagini, Francesca
;
Botero, Camila
;
Schreiber, Irene
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 505-533
Persistent link: https://www.econbiz.de/10011752521
Saved in:
5
Pricing and hedging in stochastic volatility regime switching models
Goutte, Stéphane
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 70-80
Persistent link: https://www.econbiz.de/10010240223
Saved in:
6
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Saved in:
7
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
8
Option valuation with liquidity risk and jumps
Zhang, Hai
;
Ku, Hyejin
- In:
Applied economics letters
25
(
2018
)
6
,
pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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9
A Girsanov transformed Clark-Ocone-Haussmann type formula for L1-pure jump additive processes and its application to portfolio optimization
Handa, Masahiro
;
Sakuma, Noriyoshi
;
Suzuki, Ryoichi
- In:
Annals of finance
20
(
2024
)
3
,
pp. 329-352
Persistent link: https://www.econbiz.de/10015188744
Saved in:
10
Utility maximization with random horizon : a BSDE approach
Jeanblanc, Monique
;
Mastrolia, Thibaut
;
Possamai͏̈, Dylan
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011404177
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