Add to ORKGAbstract. The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution of this system and propose a numerical method to compute this optimal strategy. Résumé. La stratégie optimale de réplication pour les marchés incomplets est obtenue par la résolution d’un système d’équations aux dérivées partielles. Dans cet article, on étudie l’existence et l’unicite ́ de la solution de ce système et on propose une méthode numérique pour calculer cette stratégie optimale. 1
There are three ways of measuring the value of a payoff stream in sequential markets with portfolio...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
The optimal replication strategy for incomplete markets is obtained by solving a system of partial d...
La stratégie optimale de réplication pour les marchés incomplets est obtenue par la résolution d'un ...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of" u...
none1noIn this paper we work in a general incomplete market driven by a mixed diffusion of finite di...
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
We reconsider the replication problem for contingent claims in a complete market under a general fra...
Cover title.Includes bibliographical references (p. 57-60).Partially supported by the MIT Laboratory...
This thesis focuses on pricing derivatives securities such as stock options\ud in incomplete financi...
There are three ways of measuring the value of a payoff stream in sequential markets with portfolio...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...
The optimal replication strategy for incomplete markets is obtained by solving a system of partial d...
La stratégie optimale de réplication pour les marchés incomplets est obtenue par la résolution d'un ...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of un...
Given a European derivative security with an arbitrary payoff function and a corresponding set of" u...
none1noIn this paper we work in a general incomplete market driven by a mixed diffusion of finite di...
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal...
The assumption of the complete market simplifies the whole theory of arbitrage pricing theory since ...
We reconsider the replication problem for contingent claims in a complete market under a general fra...
Cover title.Includes bibliographical references (p. 57-60).Partially supported by the MIT Laboratory...
This thesis focuses on pricing derivatives securities such as stock options\ud in incomplete financi...
There are three ways of measuring the value of a payoff stream in sequential markets with portfolio...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges s...