Works matching IS 09492984 AND DT 2016 AND VI 20 AND IP 3
Results: 8
Almost-sure hedging with permanent price impact.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 741, doi. 10.1007/s00780-016-0295-1
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- Publication type:
- Article
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing.
- Published in:
- 2016
- By:
- Publication type:
- Erratum
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 543, doi. 10.1007/s00780-016-0298-y
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- Publication type:
- Article
An explicit martingale version of the one-dimensional Brenier theorem.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 635, doi. 10.1007/s00780-016-0299-x
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- Publication type:
- Article
Additive subordination and its applications in finance.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 589, doi. 10.1007/s00780-016-0300-8
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- Publication type:
- Article
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 773, doi. 10.1007/s00780-016-0302-6
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- Publication type:
- Article
Consumption-investment problem with transaction costs for Lévy-driven price processes.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 705, doi. 10.1007/s00780-016-0303-5
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- Publication type:
- Article
Robust pricing and hedging under trading restrictions and the emergence of local martingale models.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 669, doi. 10.1007/s00780-016-0293-3
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- Publication type:
- Article