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American options with multiple priors in continuous time

Vorbrink, Jörg - 2011

the analysis of exotic American options we highlight the main difference to classical single prior models. This is …

Persistent link: https://www.econbiz.de/10008990920

Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations

Hepperger, Peter Thomas - 2011

Persistent link: https://www.econbiz.de/10009375794

Equilibrium pricing in incomplete markets under translation invariant preferences

Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; … - 2011

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...

Persistent link: https://www.econbiz.de/10009379444

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

Financial modeling : a backward stochastic differential equations perspective

Crépey, Stéphane - 2013

Persistent link: https://www.econbiz.de/10009770436

Pricing joint claims on an asset and its realized variance in stochastic volatility models

Torricelli, Lorenzo - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009725085

A note on the use of fractional Brownian motion for financial modeling

Rostek, Stefan; Schöbel, Rainer - In: Economic modelling 30 (2013), pp. 30-35

Persistent link: https://www.econbiz.de/10009702270

Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

Persistent link: https://www.econbiz.de/10009703683

Utility maximization with intermediate consumption under restricted information for jump market models

Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34

Persistent link: https://www.econbiz.de/10009672596