Add to ORKGIn this tutorial, various derivative pricing notions in incomplete markets are illustrated using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions
As the numeraire portfolio is unique. under complete as well as incomplete markets, it can be. used ...
In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension...
In the framework of incomplete markets, due to the non-existence of trade at some points in time, an...
This dissertation comprises four essays on the topic of derivatives pricing in incomplete markets, a...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
We consider a general discrete-time dynamic nancial market with three assets: a riskless bond, a se...
International audienceGiven exogenously the price process of some asets, we constrain the price proc...
This dissertation is a contribution to the valuation and risk management of derivative securities i...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
International audienceWe analyze derivative asset trading in an economy in which agents face both ag...
This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance ...
In the framework of incomplete markets, due to the non-existence of trade at some points in time, an...
We study the problem of portfolio optimization in an incomplete market using derivatives as well as ...
We consider a general discrete-time dynamic financial market with three assets: a riskless bond, a s...
As the numeraire portfolio is unique. under complete as well as incomplete markets, it can be. used ...
In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension...
In the framework of incomplete markets, due to the non-existence of trade at some points in time, an...
This dissertation comprises four essays on the topic of derivatives pricing in incomplete markets, a...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
THE PURPOSE AND THE RATIONALE (AMAÇ VE GEREKÇE) The common standard pricing methods of financial ass...
We consider a general discrete-time dynamic nancial market with three assets: a riskless bond, a se...
International audienceGiven exogenously the price process of some asets, we constrain the price proc...
This dissertation is a contribution to the valuation and risk management of derivative securities i...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
International audienceWe analyze derivative asset trading in an economy in which agents face both ag...
This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance ...
In the framework of incomplete markets, due to the non-existence of trade at some points in time, an...
We study the problem of portfolio optimization in an incomplete market using derivatives as well as ...
We consider a general discrete-time dynamic financial market with three assets: a riskless bond, a s...
As the numeraire portfolio is unique. under complete as well as incomplete markets, it can be. used ...
In this paper we work in a general incomplete market driven by a mixed diffusion of finite dimension...
In the framework of incomplete markets, due to the non-existence of trade at some points in time, an...