For a converging sequence of exponential Lévy models, we give conditions under which the associated sequence of option prices converges. We also study the behavior of the prices when no such convergence holds. We then consider two special cases: first when the martingale measure is chosen by minimization of entropy, and then when it minimizes Hellinger integrals
Doutoramento em Matemática Aplicada à Economia e GestãoIn this thesis we present a new model for pri...
We consider plain vanilla European options written on an underlying asset that follows a continuous ...
This paper studies stability of the exponential utility maximization when there are small variations...
Given a converging sequence of exponential Lévy models, we give conditions under which the associat...
In this thesis, we study various aspects of exponential Levy models in finance, and in particular : ...
In exponential semi-martingale setting for risky asset we estimate the difference of prices of optio...
International audienceWe study the behavior of the critical price of an American put option near mat...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
We explore the precise link between option prices in exponential Lévy models and the related partial...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
This dissertation studies option pricing, portfolio selection, and risk management assuming exponent...
In this thesis we study the pricing of options of American type in a continuous time setting. We beg...
Doutoramento em Matemática Aplicada à Economia e GestãoIn this thesis we present a new model for pri...
We consider plain vanilla European options written on an underlying asset that follows a continuous ...
This paper studies stability of the exponential utility maximization when there are small variations...
Given a converging sequence of exponential Lévy models, we give conditions under which the associat...
In this thesis, we study various aspects of exponential Levy models in finance, and in particular : ...
In exponential semi-martingale setting for risky asset we estimate the difference of prices of optio...
International audienceWe study the behavior of the critical price of an American put option near mat...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
A general price process represented by a two-component Markov process is considered. Its first compo...
We explore the precise link between option prices in exponential Lévy models and the related partial...
2004We propose a stable nonparametric method for constructing an option pricing model of exponential...
This dissertation studies option pricing, portfolio selection, and risk management assuming exponent...
In this thesis we study the pricing of options of American type in a continuous time setting. We beg...
Doutoramento em Matemática Aplicada à Economia e GestãoIn this thesis we present a new model for pri...
We consider plain vanilla European options written on an underlying asset that follows a continuous ...
This paper studies stability of the exponential utility maximization when there are small variations...