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Variance-optimal heding for processes with stationary independent increments
Hubalek, Friedrich
;
Kallsen, Jan
;
Krawczyk, Leszek
-
2005
Persistent link: https://www.econbiz.de/10002830696
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2
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:
3
A general proof of the Dybvig-Ingersoll-Ross Theorem : long forward rates can never fall
Hubalek, Friedrich
;
Klein, Irene
;
Teichmann, Josef
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 447-451
Persistent link: https://www.econbiz.de/10001741960
Saved in:
4
Quadratic hedging for the Bates model
Hubalek, Friedrich
;
Sgarra, Carlo
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
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5
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:
6
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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7
A utility maximization approach to hedging in incomplete markets
Kallsen, Jan
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 321-338
Persistent link: https://www.econbiz.de/10001428821
Saved in:
8
Utility-based derivative pricing in incomplete markets
Kallsen, Jan
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 313-338)
.
2002
Persistent link: https://www.econbiz.de/10001679455
Saved in:
9
Derivative pricing based on local utility maximization
Kallsen, Jan
- In:
Finance and stochastics
6
(
2002
)
1
,
pp. 115-140
Persistent link: https://www.econbiz.de/10001643758
Saved in:
10
Option pricing in arch-type models
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
8
(
1998
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10001240800
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