On changes of measure in stochastic volatility models.
Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “A martingale control variate method for option pricing with stochastic volatility”
On changes of measure in stochastic volatility models.
Pricing rules under asymmetric information
Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
A stochastic model for the financial market with discontinuous prices.
Minkova, Leda D. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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Robust option replication for a Black-Scholes model extended with nondeterministic trends.
Schoenmakers, John G.M., Kloeden, Peter E. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Defaultable game options in a hazard process model.
Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)
Journal of Applied Mathematics and Stochastic Analysis
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On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications.
Wong, Bernard (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Martingale measures in the market with restricted information.
Yang, Jianqi, Yan, Haifeng, Liu, Limin (2006)
Journal of Applied Mathematics and Decision Sciences
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Option price when the stock is a semimartingale.
Klebaner, Fima (2002)
Electronic Communications in Probability [electronic only]
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Martingale selection problem and asset pricing in finite discrete time.
Rokhlin, Dmitry B. (2007)
Electronic Communications in Probability [electronic only]
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Entropic Conditions and Hedging
Samuel Njoh (2007)
ESAIM: Probability and Statistics
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In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
The martingale method of shortfall risk minimization in a discrete time market
Marek Andrzej Kociński (2012)
Applicationes Mathematicae
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The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.