Found 29 Documents (Results 1–29)
Duality theory for exponential utility-based hedging in the Almgren-Chriss model. (English) Zbl 1539.91128
A scaling limit for utility indifference prices in the discretised Bachelier model. (English) Zbl 1484.91472
Short communication: Utility indifference pricing with high risk aversion and small linear price impact. (English) Zbl 1484.91473
Short communication: A note on utility indifference pricing with delayed information. (English) Zbl 1462.91020
Scaling limits for super-replication with transient price impact. (English) Zbl 1434.91061
MSC:
91G20
A Note on Utility Indifference Pricing with Delayed Information. arXiv:2011.05023
Preprint, arXiv:2011.05023 [q-fin.MF] (2020).
Continuous-time duality for superreplication with transient price impact. (English) Zbl 1444.91194
Reviewer: Aleksandr D. Borisenko (Kyïv)
Super-replication with fixed transaction costs. (English) Zbl 1411.91538
MSC:
91G20
Super-replication in fully incomplete markets. (English) Zbl 1390.91298
MSC:
91G20
The scaling limit of superreplication prices with small transaction costs in the multivariate case. (English) Zbl 1378.91132
Reviewer: Pedro A. Morettin (São Paulo)
Risk minimization for game options in markets imposing minimal transaction costs. (English) Zbl 1380.91129
Super-replication with nonlinear transaction costs and volatility uncertainty. (English) Zbl 1415.91276
Corrigendum to: “Martingale optimal transport in the Skorokhod space”. (English) Zbl 1337.91093
Reviewer: Gianluca Cassese (Milano)
Martingale optimal transport in the Skorokhod space. (English) Zbl 1337.91092
Stochastic Processes Appl. 125, No. 10, 3893-3931 (2015); corrigendum ibid. 126, No. 1, 312-313 (2016).
Reviewer: Gianluca Cassese (Milano)
Robust hedging with proportional transaction costs. (English) Zbl 1304.91189
Reviewer: Yuliya S. Mishura (Kyïv)
Hedging of game options under model uncertainty in discrete time. (English) Zbl 1304.91216
Reviewer: Yuri Kifer (Jerusalem)
Limit theorems for partial hedging under transaction costs. (English) Zbl 1303.91172
Reviewer: Gianluca Cassese (Milano)
Hedging of game options with the presence of transaction costs. (English) Zbl 1318.91182
Reviewer: John O’Hara (Wivenhoe Park)
Error estimates for multinomial approximations of American options in a class of jump diffusion models. (English) Zbl 1233.91265
Reviewer: Henryk Gzyl (Caracas)
Binomial approximations for barrier options of Israeli style. (English) Zbl 1222.91059
Breton, Michèle (ed.) et al., Advances in dynamic games. Theory, applications, and numerical methods for differential and stochastic games. Dedicated to the memory of Arik A. Melikyan. Selected papers presented at the 13th international symposium on dynamic games and applications, Wrocław, Poland, Summer 2008. Boston, MA: Birkhäuser (ISBN 978-0-8176-8088-6/hbk; 978-0-8176-8089-3/ebook). Annals of the International Society of Dynamic Games 11, 447-467 (2011).
Reviewer: Pavel Stoynov (Sofia)
Perfect and partial hedging for swing game options in discrete time. (English) Zbl 1222.91058
Reviewer: Pavel Stoynov (Sofia)
Shortfall risk approximations for American options in the multidimensional Black-Scholes model. (English) Zbl 1203.91289
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