Found 34 Documents (Results 1–34)
Stochastic ordering by \(g\)-expectations. (English) Zbl 1486.60035
Reviewer: Hans Daduna (Hamburg)
Option valuation with IG-GARCH model and a U-shaped pricing kernel. (English) Zbl 1489.91281
MSC:
91G30
Dynamic risk measures for processes via backward stochastic differential equations. (English) Zbl 1411.91291
MSC:
91B30
60H10
Option pricing with ARIMA-GARCH models of underlying asset returns. (English. Russian original) Zbl 1406.62125
Comput. Math. Model. 29, No. 4, 461-473 (2018); translation from Prikl. Mat. Inf. 57, 94-111 (2018).
Reaching goals under ambiguity: continuous-time optimal portfolio selection. (English) Zbl 1419.91584
The role of a representative reinsurer in optimal reinsurance. (English) Zbl 1371.91082
MSC:
91B30
62P05
The mean correcting martingale measures for exponential additive processes. (English) Zbl 1363.60072
A modified empirical martingale simulation for financial derivative pricing. (English) Zbl 1458.62247
Backward stochastic viability and related properties on \(Z\) for BSDEs with applications. (English) Zbl 1292.93123
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions. (English) Zbl 1282.91116
A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes. (English) Zbl 1203.65017
Reviewer: Georgiy Shevchenko (Kiev)
Valuation of futures options with initial margin requirements and daily price limit. (English) Zbl 1200.91291
Reviewer: Aleksandr D. Borisenko (Kyïv)
The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations. (English) Zbl 1165.91418
MSC:
91B30
Dynamic quantile models. (English) Zbl 1429.62396
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