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
Similarity:
The search session has expired. Please query the service again.
Displaying similar documents to “Minimizing banking risk in a Lévy process setting.”
Robust option replication for a Black-Scholes model extended with nondeterministic trends.
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
Yang, Zhaojun, Ewald, Christian-Oliver, Wang, Wen-Kai (2011)
Journal of Probability and Statistics
Similarity:
Valuation for an American continuous-installment put option on bond under Vasicek interest rate model.
Huang, Guoan, Deng, Guohe, Huang, Lihong (2009)
Journal of Applied Mathematics and Decision Sciences
Similarity:
Information pricing for portfolio optimization
Tadeusz Banek, Roman Kulikowski (2003)
Control and Cybernetics
Similarity:
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Jump telegraph processes and financial markets with memory.
Ratanov, Nikita (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Maximizing banking profit on a random time interval.
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
Similarity:
Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
Similarity:
A Markov regime-switching marked point process for short-rate analysis with credit risk.
Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
Similarity:
The intensity model for pricing credit securities with jump diffusion and counterparty risk.
Hao, Ruili, Ye, Zhongxing (2011)
Mathematical Problems in Engineering
Similarity:
Model tracking for risk problems.
Aggoun, Lakhdar, Benkherouf, Lakdere (2002)
International Journal of Mathematics and Mathematical Sciences
Similarity: