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Works matching IS 09601627 AND DT 2001 AND VI 11 AND IP 3

Results: 6

1

PRICING OF NEW SECURITIES IN AN INCOMPLETE MARKET: THE CATCH 22 OF NO-ARBITRAGE PRICING.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 267, doi. 10.1111/1467-9965.00115

By:

Boyle, Phelim;
Tan Wang

Publication type:

Article

2

ROBUST HEDGING OF BARRIER OPTIONS.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 285, doi. 10.1111/1467-9965.00116

By:

Brown, Haydyn;
Hobson, David;
Rogers, U. C. G.

Publication type:

Article

3

NO ARBITRAGE IN DISCRETE TIME UNDER PORTFOLIO CONSTRAINTS.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 315, doi. 10.1111/1467-9965.00117

By:

Carassus, Laurence;
Pham, Huyên;
Touzi, Nizar

Publication type:

Article

4

BOUNDS ON DERIVATIVE PRICES IN AN INTERTEMPORAL SETTING WITH PROPORTIONAL TRANSACTION COSTS AND MULTIPLE SECURITIES.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 331

By:

Zariphopoulou, Thaleia;
Constantinides, George M.

Publication type:

Article

5

A NOTE ON THE BOYLE-VORST DISCRETE-TIME OPTION PRICING MODEL WITH TRANSACTIONS COSTS.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 357, doi. 10.1111/1467-9965.00120

By:

Palmer, Ken

Publication type:

Article

6

LELAND'S APPROACH TO OPTION PRICING: THE EVOLUTION OF A DISCONTINUITY.

Published in:

Mathematical Finance, 2001, v. 11, n. 3, p. 347, doi. 10.1111/1467-9965.00119

By:

Grandits, Peter;
Schachinger, Werner

Publication type:

Article